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Price and trade size clustering: Evidence from the national stock exchange of India

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  • Mishra, Ajay Kumar
  • Tripathy, Trilochan

Abstract

This paper investigates price and trade size clustering in individual trades executed in the NSE’s fully computerized order-driven trading system. We also examine intraday return and liquidity patterns for the NSE traded stocks. We find a strong evidence of size and price clustering for the traded stocks. Size clustering occurs in the multiples of 500 shares. We witness a decreasing relationship between price clustering and trade price decimals for the full sample. Our results are consistent after controlling for the trade frequency and market capitalization.

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  • Mishra, Ajay Kumar & Tripathy, Trilochan, 2018. "Price and trade size clustering: Evidence from the national stock exchange of India," The Quarterly Review of Economics and Finance, Elsevier, vol. 68(C), pages 63-72.
    • Handle: RePEc:eee:quaeco:v:68:y:2018:i:c:p:63-72
    DOI: 10.1016/j.qref.2017.11.006
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    More about this item

    Keywords

    Trade size clustering; Price clustering; Order driven market; Liquidity pattern; NSE;
    All these keywords.

    JEL classification:

    • G20 - Financial Economics - - Financial Institutions and Services - - - General
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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