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Clustering and psychological barriers in exchange rates

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  • Mitchell, Jason
  • Izan, H.Y.
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of International Financial Markets, Institutions and Money.

    Volume (Year): 16 (2006)
    Issue (Month): 4 (October)
    Pages: 318-344

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    Handle: RePEc:eee:intfin:v:16:y:2006:i:4:p:318-344

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    Web page: http://www.elsevier.com/locate/intfin

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    1. Harris, Lawrence, 1991. "Stock Price Clustering and Discreteness," Review of Financial Studies, Society for Financial Studies, vol. 4(3), pages 389-415.
    2. Donaldson, R.G., 1990. "International Evidence On Psychological Barriers In Asset Prices And The Efficient Market Hypothesis," Papers, Princeton, Department of Economics - Financial Research Center 116, Princeton, Department of Economics - Financial Research Center.
    3. Sopranzetti, Ben J. & Datar, Vinay, 2002. "Price clustering in foreign exchange spot markets," Journal of Financial Markets, Elsevier, vol. 5(4), pages 411-417, October.
    4. Victor Niederhoffer, 1965. "A New Look at Clustering of Stock Prices," The Journal of Business, University of Chicago Press, vol. 39, pages 309.
    5. Riccardo Curcio & Charles Goodhart, 1992. "When Support/Resistance Levels are Broken, Can Profits be Made? Evidence from the Foreign Exchange Market," FMG Discussion Papers, Financial Markets Group dp142, Financial Markets Group.
    6. Aitken, Michael & Brown, Philip & Buckland, Christine & Izan, H. Y. & Walter, Terry, 1996. "Price clustering on the Australian Stock Exchange," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 4(2-3), pages 297-314, July.
    7. Kandel, Shmuel & Sarig, Oded & Wohl, Avi, 2001. "Do investors prefer round stock prices? Evidence from Israeli IPO auctions," Journal of Banking & Finance, Elsevier, vol. 25(8), pages 1543-1551, August.
    8. Charles Kahn & George Pennacchi & Ben Sopranzetti, 1996. "Bank deposit rate clustering: theory and empirical evidence," Working Paper 9604, Federal Reserve Bank of Cleveland.
    9. Oded Palmon & Barton A. Smith & Ben J. Sopranzetti, 2004. "Clustering in Real Estate Prices: Determinants and Consequences," Journal of Real Estate Research, American Real Estate Society, American Real Estate Society, vol. 26(2), pages 115-136.
    10. Riccardo Curcio & Charles Goodhart, 1991. "The Clustering of Bid/Ask Prices and the Spread in the Foreign Exchange Market," FMG Discussion Papers, Financial Markets Group dp110, Financial Markets Group.
    11. ap Gwilym, Owain & Clare, Andrew & Thomas, Stephen, 1998. "Price clustering and bid-ask spreads in international bond futures," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 8(3-4), pages 377-391, December.
    12. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    13. Donaldson, R. Glen & Kim, Harold Y., 1993. "Price Barriers in the Dow Jones Industrial Average," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 28(03), pages 313-330, September.
    14. Pagan, Adrian, 1996. "The econometrics of financial markets," Journal of Empirical Finance, Elsevier, Elsevier, vol. 3(1), pages 15-102, May.
    15. Bertola, G. & Cabarello, R.J., 1990. "Target Zones And Realignments," Discussion Papers, Columbia University, Department of Economics 1990_51, Columbia University, Department of Economics.
    16. Sugden, Robert, 1995. "A Theory of Focal Points," Economic Journal, Royal Economic Society, Royal Economic Society, vol. 105(430), pages 533-50, May.
    17. Grossman, Sanford J, et al, 1997. "Clustering and Competition in Asset Markets," Journal of Law and Economics, University of Chicago Press, vol. 40(1), pages 23-60, April.
    18. Flood, Robert P & Garber, Peter M, 1991. "The Linkage between Speculative Attack and Target Zone Models of Exchange Rates," The Quarterly Journal of Economics, MIT Press, MIT Press, vol. 106(4), pages 1367-72, November.
    19. Krugman, Paul R, 1991. "Target Zones and Exchange Rate Dynamics," The Quarterly Journal of Economics, MIT Press, MIT Press, vol. 106(3), pages 669-82, August.
    20. Akgiray, Vedat, 1989. "Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecasts," The Journal of Business, University of Chicago Press, vol. 62(1), pages 55-80, January.
    21. Adrian E. Tschoegl, 1988. "The source and consequences of stop orders: A conjecture," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 9(1), pages 83-85, 03.
    22. De Grauwe, Paul & Decupere, Danny, 1992. "Psychological Barriers in the Foreign Exchange Market," CEPR Discussion Papers 621, C.E.P.R. Discussion Papers.
    23. Cyree, Ken B. & Domian, Dale L. & Louton, David A. & Yobaccio, Elizabeth J., 1999. "Evidence of psychological barriers in the conditional moments of major world stock indices," Review of Financial Economics, Elsevier, Elsevier, vol. 8(1), pages 73-91, June.
    24. Koedijk, Kees G. & Stork, Philip A., 1994. "Should we care? psychological barriers in stock markets," Economics Letters, Elsevier, vol. 44(4), pages 427-432, April.
    25. De Ceuster, Marc J. K. & Dhaene, Geert & Schatteman, Tom, 1998. "On the hypothesis of psychological barriers in stock markets and Benford's Law," Journal of Empirical Finance, Elsevier, Elsevier, vol. 5(3), pages 263-279, September.
    26. Connolly, Robert A., 1989. "An Examination of the Robustness of the Weekend Effect," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(02), pages 133-169, June.
    27. Pesenti, P.A., 1990. "Perforate And Imperforate Currency Bands: Exchange Rate Management And The Term Structure Of Interest Rate Differentials," Papers, Yale - Economic Growth Center 626, Yale - Economic Growth Center.
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    Cited by:
    1. Bharati, Rakesh & Crain, Susan J. & Kaminski, Vincent, 2012. "Clustering in crude oil prices and the target pricing zone hypothesis," Energy Economics, Elsevier, vol. 34(4), pages 1115-1123.

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