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Share price clustering in Mexico

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

Abstract

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.

Suggested Citation

  • Narayan, Paresh Kumar & Narayan, Seema & Popp, Stephan & D'Rosario, Michael, 2011. "Share price clustering in Mexico," International Review of Financial Analysis, Elsevier, vol. 20(2), pages 113-119, April.
    • Handle: RePEc:eee:finana:v:20:y:2011:i:2:p:113-119
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