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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

Abstract

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File URL: http://www.sciencedirect.com/science/article/B6VFF-3VW90G6-K/2/839e9d28fe4bd168636644d7bf27c9e7
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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. Victor Niederhoffer, 1965. "A New Look at Clustering of Stock Prices," The Journal of Business, University of Chicago Press, vol. 39, pages 309.
  2. 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.
  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. Harris, Lawrence, 1991. "Stock Price Clustering and Discreteness," Review of Financial Studies, Society for Financial Studies, vol. 4(3), pages 389-415.
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Citations

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Cited by:
  1. Joep Sonnemans, 2003. "Price Clustering and Natural Resistance Points in the Dutch Stock Market," Tinbergen Institute Discussion Papers 03-043/1, Tinbergen Institute.
  2. 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.
  3. 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.
  4. Paresh Kumar Narayan & Russell Smyth, 2011. "Has political instability contributed to price clustering on Fiji's stock market?," Financial Econometics Series 2011_03, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.
  5. 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.
  6. 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.
  7. Chris Doucouliagos, 2005. "Price exhaustion and number preference: time and price confluence in Australian stock prices," European Journal of Finance, Taylor and Francis Journals, vol. 11(3), pages 207-221.
  8. 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.
  9. 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.
  10. 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.
  11. Joep Sonnemans, 2003. "Price Clustering and Natural Resistance Points in the Dutch Stock Market," Tinbergen Institute Discussion Papers 03-043/1, Tinbergen Institute.
  12. Nikolaus Hautsch, 1999. "Analyzing the Time between Trades with a Gamma Compounded Hazard Model. An Application to LIFFE Bund Future Transactions," Finance 9904002, EconWPA.
  13. 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.
  14. 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.
  15. 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.
  16. 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.
  17. 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.

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