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Cultural Stock Price Clustering in the Chinese Equity Market

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  • Hamish Anderson
  • Andrew Dunstan
  • Ben R. Marshall

Abstract

We use high-frequency data over a long period (1996–2009) to document the prevalence of cultural biases in the Chinese equity market where many Chinese see the numbers 8 and 4 as lucky and unlucky, respectively. We show that cultural clustering is pervasive across both exchanges and share classes but is declining over time. Cultural-driven order placement is more prevalent in higher-priced shares. The aversion to order prices ending in 4 is strong in bid orders but non-existent in ask orders, and the attraction to 8 is significantly greater in ask orders. Order prices also exhibit strategic placement to prioritize execution time.

Suggested Citation

  • Hamish Anderson & Andrew Dunstan & Ben R. Marshall, 2015. "Cultural Stock Price Clustering in the Chinese Equity Market," Chinese Economy, Taylor & Francis Journals, vol. 48(6), pages 449-467, November.
    • Handle: RePEc:mes:chinec:v:48:y:2015:i:6:p:449-467
    DOI: 10.1080/10971475.2015.1081810
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