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An analysis of intraday patterns in price clustering on the Tokyo Stock Exchange

  • Ohta, Wataru
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    File URL: http://www.sciencedirect.com/science/article/B6VCY-4HRMV1T-4/2/b1a9f5fcb74410e01baf6c496c3eb9d2
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    Article provided by Elsevier in its journal Journal of Banking & Finance.

    Volume (Year): 30 (2006)
    Issue (Month): 3 (March)
    Pages: 1023-1039

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    Handle: RePEc:eee:jbfina:v:30:y:2006:i:3:p:1023-1039
    Contact details of provider: Web page: http://www.elsevier.com/locate/jbf

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    1. Bruce N. Lehmann and David M. Modest., 1994. "Trading and Liquidity on the Tokyo Stock Exchange: A Bird's Eye View," Research Program in Finance Working Papers RPF-234, University of California at Berkeley.
    2. Aitken, Michael & Brown, Philip & Buckland, Christine & Izan, H. Y. & Walter, Terry, 1996. "Price clustering on the Australian Stock Exchange," Pacific-Basin Finance Journal, Elsevier, vol. 4(2-3), pages 297-314, July.
    3. Huang, Roger D. & Stoll, Hans R., 2001. "Tick Size, Bid-Ask Spreads, and Market Structure," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 36(04), pages 503-522, December.
    4. Harris, Lawrence, 1991. "Stock Price Clustering and Discreteness," Review of Financial Studies, Society for Financial Studies, vol. 4(3), pages 389-415.
    5. Ahn, Hee-Joon & Cai, Jun & Hamao, Yasushi & Ho, Richard Y. K., 2002. "The components of the bid-ask spread in a limit-order market: evidence from the Tokyo Stock Exchange," Journal of Empirical Finance, Elsevier, vol. 9(4), pages 399-430, November.
    6. Hamao, Yasushi & Hasbrouck, Joel, 1995. "Securities Trading in the Absence of Dealers: Trades and Quotes on the Tokyo Stock Exchange," Review of Financial Studies, Society for Financial Studies, vol. 8(3), pages 849-78.
    7. Cooney, John Jr. & Van Ness, Bonnie & Van Ness, Robert, 2003. "Do investors prefer even-eighth prices? Evidence from NYSE limit orders," Journal of Banking & Finance, Elsevier, vol. 27(4), pages 719-748, April.
    8. Kee H. Chung & Bonnie F. Van Ness & Robert A. Van Ness, 2004. "Trading Costs And Quote Clustering On The Nyse And Nasdaq After Decimalization," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 27(3), pages 309-328.
    9. Hamao, Yasushi, 1991. "A Standard Data Base for the Analysis of Japanese Security Markets," The Journal of Business, University of Chicago Press, vol. 64(1), pages 87-102, January.
    10. Victor Niederhoffer, 1965. "A New Look at Clustering of Stock Prices," The Journal of Business, University of Chicago Press, vol. 39, pages 309.
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