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Price clustering in Australian water markets

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  • Robert Brooks
  • Edwyna Harris
  • Yovina Joymungul

Abstract

The finding of clustering in financial prices on particular digits is common across a broad range of financial markets. This article explores whether price clustering is also present in the case of the weekly market for seasonal water in rural Victoria, Australia. We find a similar degree of clustering in the seasonal water market. This suggests that the trading activities of the market produce characteristics that are similar to more sophisticated and deeper financial markets.

Suggested Citation

  • Robert Brooks & Edwyna Harris & Yovina Joymungul, 2013. "Price clustering in Australian water markets," Applied Economics, Taylor & Francis Journals, vol. 45(6), pages 677-685, February.
    • Handle: RePEc:taf:applec:45:y:2013:i:6:p:677-685
    DOI: 10.1080/00036846.2011.610747
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    References listed on IDEAS

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    Cited by:

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    2. Li, Xin & Li, Shenghong & Xu, Chong, 2020. "Price clustering in Bitcoin market—An extension," Finance Research Letters, Elsevier, vol. 32(C).
    3. Zuo, Alec & Qiu, Feng & Wheeler, Sarah Ann, 2019. "Examining volatility dynamics, spillovers and government water recovery in Murray-Darling Basin water markets," Resource and Energy Economics, Elsevier, vol. 58(C).
    4. Palao, Fernando & Pardo, Ángel, 2014. "What makes carbon traders cluster their orders?," Energy Economics, Elsevier, vol. 43(C), pages 158-165.
    5. Simon de Bonviller & Alec Zuo & Sarah Ann Wheeler, 2019. "Is there evidence of insider trading in Australian water markets?," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 63(2), pages 307-327, April.
    6. Christos Alexakis & Mark Cummins & Michael Dowling & Vasileios Pappas, 2018. "A High-Frequency Analysis of Price Resolution and Pricing Barriers in Equities on the Adoption of a New Currency," Post-Print hal-01994666, HAL.
    7. Donglian Ma & Hisashi Tanizaki, 2022. "Intraday patterns of price clustering in Bitcoin," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-25, December.
    8. Vladim'ir Hol'y & Petra Tomanov'a, 2021. "Modeling Price Clustering in High-Frequency Prices," Papers 2102.12112, arXiv.org, revised Mar 2021.
    9. Yoonsoo Nam & Scott J Niblock & Elisabeth Sinnewe & Keith Jakob, 2018. "Do corporate directors ‘heap’ dividends? Evidence on dividend rounding and information uncertainty in Australian firms," Australian Journal of Management, Australian School of Business, vol. 43(3), pages 421-438, August.
    10. Brooks, Robert & Harris, Edwyna, 2014. "Price leadership and information transmission in Australian water allocation markets," Agricultural Water Management, Elsevier, vol. 145(C), pages 83-91.
    11. Jeong, Dawoon & Sesmero, Juan Pablo & Reeling, Carson, 2023. "Experimental Evidence of Efficiency and Equity of Posted Price Markets for Irrigation Water," 2023 Annual Meeting, July 23-25, Washington D.C. 335840, Agricultural and Applied Economics Association.
    12. Christos Alexakis & Mark Cummins & Michael Dowling & Vasileios Pappas, 2018. "A high-frequency analysis of price resolution and pricing barriers in equities on the adoption of a new currency," Applied Economics, Taylor & Francis Journals, vol. 50(36), pages 3949-3965, August.
    13. Sarah Ann Wheeler, 2022. "Debunking Murray‐Darling Basin water trade myths," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 66(4), pages 797-821, October.
    14. de Bonviller, Simon & Wheeler, Sarah Ann & Zuo, Alec, 2020. "The dynamics of groundwater markets: Price leadership and groundwater demand elasticity in the Murrumbidgee, Australia," Agricultural Water Management, Elsevier, vol. 239(C).

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