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Price clustering on the Australian Stock Exchange

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Author Info

  • Aitken, Michael
  • Brown, Philip
  • Buckland, Christine
  • Izan, H. Y.
  • Walter, Terry

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Bibliographic Info

Article provided by Elsevier in its journal Pacific-Basin Finance Journal.

Volume (Year): 4 (1996)
Issue (Month): 2-3 (July)
Pages: 297-314

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Handle: RePEc:eee:pacfin:v:4:y:1996:i:2-3:p:297-314

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

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References

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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. Victor Niederhoffer, 1965. "A New Look at Clustering of Stock Prices," The Journal of Business, University of Chicago Press, vol. 39, pages 309.
  3. Riccardo Curcio & Charles Goodhart, 1991. "The Clustering of Bid/Ask Prices and the Spread in the Foreign Exchange Market," FMG Discussion Papers dp110, Financial Markets Group.
  4. Easley, David & O'Hara, Maureen, 1987. "Price, trade size, and information in securities markets," Journal of Financial Economics, Elsevier, vol. 19(1), pages 69-90, September.
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Citations

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Cited by:
  1. Hristos Doucouliagos, 2003. "Price Exhaustion and Number Preference: Time and Price Confluence in Australian Stock Prices," Economics Series 2003_06, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.
  2. Narayan, Paresh Kumar & Narayan, Seema & Popp, Stephan, 2011. "Investigating price clustering in the oil futures market," Applied Energy, Elsevier, vol. 88(1), pages 397-402, January.
  3. Meng, Lei & Verousis, Thanos & ap Gwilym, Owain, 2013. "A substitution effect between price clustering and size clustering in credit default swaps," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 24(C), pages 139-152.
  4. Li, Bob & Boo, Yee Ling & Ee, Mong Shan & Chen, Cindy, 2013. "A re-examination of firm's attributes and share returns: Evidence from the Chinese A-shares market," International Review of Financial Analysis, Elsevier, vol. 28(C), pages 174-181.
  5. Narayan, Paresh Kumar & Smyth, Russell, 2013. "Has political instability contributed to price clustering on Fiji's stock market?," Journal of Asian Economics, Elsevier, vol. 28(C), pages 125-130.
  6. Sonnemans, Joep, 2006. "Price clustering and natural resistance points in the Dutch stock market: A natural experiment," European Economic Review, Elsevier, vol. 50(8), pages 1937-1950, November.
  7. 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, vol. 8(3-4), pages 377-391, December.
  8. Kirsten Rüchardt & Bodo Vogt, 2009. "Comparison of the Stock Price Clustering of stocks which are traded in the US and Germany—Is XETRA more efficient than the NYSE?," FEMM Working Papers 09016, Otto-von-Guericke University Magdeburg, Faculty of Economics and Management.
  9. McGroarty, Frank & ap Gwilym, Owain & Thomas, Stephen, 2006. "Microstructure effects, bid-ask spreads and volatility in the spot foreign exchange market pre and post-EMU," Global Finance Journal, Elsevier, vol. 17(1), pages 23-49, September.
  10. Joep Sonnemans, 2003. "Price Clustering and Natural Resistance Points in the Dutch Stock Market," Tinbergen Institute Discussion Papers 03-043/1, Tinbergen Institute.
  11. Aerts, Walter & Campenhout, Geert Van & Caneghem, Tom Van, 2008. "Clustering in dividends: Do managers rely on cognitive reference points?," Journal of Economic Psychology, Elsevier, vol. 29(3), pages 276-284, June.
  12. ap Gwilym, Owain & Verousis, Thanos, 2010. "Price clustering and underpricing in the IPO aftermarket," International Review of Financial Analysis, Elsevier, vol. 19(2), pages 89-97, March.
  13. Nikolaus Hautsch, 1999. "Analyzing the Time between Trades with a Gamma Compounded Hazard Model. An Application to LIFFE Bund Future Transactions," Finance 9904002, EconWPA.
  14. Ohta, Wataru, 2006. "An analysis of intraday patterns in price clustering on the Tokyo Stock Exchange," Journal of Banking & Finance, Elsevier, vol. 30(3), pages 1023-1039, March.
  15. Mitchell, Jason & Izan, H.Y., 2006. "Clustering and psychological barriers in exchange rates," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 16(4), pages 318-344, October.
  16. He, Yan & Wu, Chunchi, 2004. "Price rounding and bid-ask spreads before and after the decimalization," International Review of Economics & Finance, Elsevier, vol. 13(1), pages 19-41.
  17. Joep Sonnemans, 2003. "Price Clustering and Natural Resistance Points in the Dutch Stock Market," Tinbergen Institute Discussion Papers 03-043/1, Tinbergen Institute.
  18. Brown, Philip & Chua, Angeline & Mitchell, Jason, 2002. "The influence of cultural factors on price clustering: Evidence from Asia-Pacific stock markets," Pacific-Basin Finance Journal, Elsevier, vol. 10(3), pages 307-332, June.
  19. Narayan, Paresh Kumar & Narayan, Seema & Popp, Stephan & D'Rosario, Michael, 2011. "Share price clustering in Mexico," International Review of Financial Analysis, Elsevier, vol. 20(2), pages 113-119, April.
  20. He, Yan & Wu, Chunchi, 2006. "Is stock price rounded for economic reasons in the Chinese markets?," Global Finance Journal, Elsevier, vol. 17(1), pages 119-135, September.

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