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Trade Size Clustering In The E-Mini Index Futures Markets

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  • Qin Wang
  • Jun Zhang

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  • 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.
    • Handle: RePEc:bla:jfnres:v:39:y:2016:i:3:p:247-262
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    References listed on IDEAS

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    2. Barclay, Michael J. & Warner, Jerold B., 1993. "Stealth trading and volatility : Which trades move prices?," Journal of Financial Economics, Elsevier, vol. 34(3), pages 281-305, December.
    3. 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.
    4. Hardy Johnson, 2014. "Odd Lot Trades: The Behavior, Characteristics, and Information Content, Over Time," The Financial Review, Eastern Finance Association, vol. 49(4), pages 669-684, November.
    5. Owain ap Gwilym & Lei Meng, 2010. "Size clustering in the FTSE100 index futures market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 30(5), pages 432-443, May.
    6. Huimin Chung & Shumei Chiang, 2006. "Price clustering in E‐mini and floor‐traded index futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 26(3), pages 269-295, March.
    7. Adam L. Schwartz & Bonnie F. Van Ness & Robert A. Van Ness, 2004. "Clustering in the futures market: Evidence from S&P 500 futures contracts," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 24(5), pages 413-428, May.
    8. Sopranzetti, Ben J. & Datar, Vinay, 2002. "Price clustering in foreign exchange spot markets," Journal of Financial Markets, Elsevier, vol. 5(4), pages 411-417, October.
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    11. Owain ap Gwilym & Evamena Alibo, 2003. "Decreased price clustering in FTSE100 futures contracts following a transfer from floor to electronic trading," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 23(7), pages 647-659, July.
    12. Michael Goldstein & Ryan L. Davis & Bonnie F. Van Ness & Robert A. Van Ness, 2014. "Clustering of Trade Prices by High-Frequency and Non–High-Frequency Trading Firms," The Financial Review, Eastern Finance Association, vol. 49(2), pages 421-433, May.
    13. Clifford A. Ball & Walter N. Torous & Adrian E. Tschoegl, 1985. "The degree of price resolution: The case of the gold market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 5(1), pages 29-43, March.
    14. Harris, Lawrence, 1990. "Estimation of Stock Price Variances and Serial Covariances from Discrete Observations," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 25(3), pages 291-306, September.
    15. Hao-Chen Liu & Mark David Witte, 2013. "Price Clustering in the U.S. Dollar/Taiwan Dollar Swap Market," The Financial Review, Eastern Finance Association, vol. 48(1), pages 77-96, February.
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    17. Moulton, Pamela C., 2005. "You can't always get what you want: Trade-size clustering and quantity choice in liquidity," Journal of Financial Economics, Elsevier, vol. 78(1), pages 89-119, October.
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