Has political instability contributed to price clustering on Fiji's stock market?
AbstractThe goal of this paper is to examine evidence of stock price clustering on the South Pacific Stock Exchange, located in Fiji, and explore its determinants. We find that stock prices cluster at the decimal of 0 and 5, with almost half of prices settling on these two decimals. Upon investigating the determinants of price clustering on the South Pacific Stock Exchange we find that price level and volume of trade have a statistically significant positive effect on price clustering. We also propose and test a âpanic trading‟ hypothesis which states political instability induces price clustering. We find evidence that political instability in Fiji induces price clustering behavior.
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Bibliographic InfoPaper provided by Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance in its series Financial Econometics Series with number 2011_03.
Date of creation: 29 Aug 2011
Date of revision:
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Political instability; price clustering; Fiji;
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-09-05 (All new papers)
- NEP-CWA-2011-09-05 (Central & Western Asia)
- NEP-POL-2011-09-05 (Positive Political Economics)
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- Aslı Aşçıoğlu & Carole Comerton-Forde & Thomas H. McInish, 2007. "Price Clustering on the Tokyo Stock Exchange," The Financial Review, Eastern Finance Association, vol. 42(2), pages 289-301, 05.
- Gunther Capelle-Blancard & Mo Chaudhury, 2007. "Price clustering in the CAC 40 index options market," Applied Financial Economics, Taylor and Francis Journals, vol. 17(15), pages 1201-1210.
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