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Price resolution in an emerging market: Evidence from the Istanbul Stock Exchange

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  • G. Geoffrey Booth
  • Aydin Yuksel

Abstract

This study examines price resolution an emerging market that uses a very large relative tick size. Intraday transaction data from the Istanbul Stock Exchange are used to provide evidence concerning clustering when prices change and when they do not change. The results show that in this one-tick market there exists little if any clustering. The clustering that does exist primarily arises from sequential transactions at the same price. The observed positive relation between clustering associated with price changes and uncertainty occurs in periods of high uncertainty during which multiple-tick spreads and price changes are observed.

Suggested Citation

  • G. Geoffrey Booth & Aydin Yuksel, 2006. "Price resolution in an emerging market: Evidence from the Istanbul Stock Exchange," The European Journal of Finance, Taylor & Francis Journals, vol. 12(2), pages 137-152.
  • Handle: RePEc:taf:eurjfi:v:12:y:2006:i:2:p:137-152
    DOI: 10.1080/13518470500146017
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    References listed on IDEAS

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    1. Riccardo Curcio & Charles Goodhart, 1991. "The Clustering of Bid/Ask Prices and the Spread in the Foreign Exchange Market," FMG Discussion Papers dp110, Financial Markets Group.
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    Cited by:

    1. Narayan, Paresh Kumar & Smyth, Russell, 2011. "Has political instability contributed to price clustering on Fiji's stock market?," Financial Econometics Series fe_2011_03, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.
    2. Selim Tuzunturk, 2009. "The relationship between volatility and volume on the Istanbul stock exchange," International Journal of Sustainable Economy, Inderscience Enterprises Ltd, vol. 1(3), pages 289-304.
    3. 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.
    4. ap Gwilym, Owain & Verousis, Thanos, 2010. "Price clustering and underpricing in the IPO aftermarket," International Review of Financial Analysis, Elsevier, vol. 19(2), pages 89-97, March.
    5. Narayan, Paresh Kumar & Smyth, Russell, 2013. "Has political instability contributed to price clustering on Fiji's stock market?," Journal of Asian Economics, Elsevier, vol. 28(C), pages 125-130.

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