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Share price clustering in Mexico

  • Narayan, Paresh Kumar
  • Narayan, Seema
  • Popp, Stephan
  • D'Rosario, Michael

In this paper, we test the share price clustering phenomena and its determinants for the Mexican share market. We consider the top-12 listed companies. We observe cases of significant price clustering behaviour in the Mexican share market. Our analysis of the determinants of price clustering reveals that volume and volatility negatively impact price clustering, consistent with theory. However, own price has a negative effect on price clustering. While this is inconsistent with theory, it implies that in Mexico market participants are concerned about finer partitions of price.

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Article provided by Elsevier in its journal International Review of Financial Analysis.

Volume (Year): 20 (2011)
Issue (Month): 2 (April)
Pages: 113-119

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Handle: RePEc:eee:finana:v:20:y:2011:i:2:p:113-119
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/620166

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