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Trade Size And Price Clustering: The Case Of Short Sales And The Suspension Of Price Tests

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  • Benjamin M. Blau
  • Bonnie F. Van Ness
  • Robert A. Van Ness

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  • Benjamin M. Blau & Bonnie F. Van Ness & Robert A. Van Ness, 2012. "Trade Size And Price Clustering: The Case Of Short Sales And The Suspension Of Price Tests," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 35(2), pages 159-182, June.
  • Handle: RePEc:bla:jfnres:v:35:y:2012:i:2:p:159-182
    DOI: j.1475-6803.2012.01313.x
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    File URL: http://hdl.handle.net/10.1111/j.1475-6803.2012.01313.x
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    Cited by:

    1. Qin Wang & Jun Zhang, 2016. "Trade Size Clustering In The E-Mini Index Futures Markets," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 39(3), pages 247-262, September.
    2. Fernando Palao & Ángel Pardo Tornero, 2012. "When size matters: Clustering in the European Carbon Market," Working Papers. Serie EC 2012-10, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    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. Verousis, Thanos & ap Gwilym, Owain, 2013. "Trade size clustering and the cost of trading at the London Stock Exchange," International Review of Financial Analysis, Elsevier, vol. 27(C), pages 91-102.
    5. Garvey, Ryan & Wu, Fei, 2014. "Clustering of intraday order-sizes by uninformed versus informed traders," Journal of Banking & Finance, Elsevier, vol. 41(C), pages 222-235.
    6. 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.
    7. Palao, Fernando & Pardo, Ángel, 2014. "What makes carbon traders cluster their orders?," Energy Economics, Elsevier, vol. 43(C), pages 158-165.

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