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The degree of price resolution: The case of the gold market

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Cited by:

  1. Dionne, Georges & Zhou, Xiaozhou, 2019. "Information Environments and High Price Impact Trades: Implication for Volatility and Price Efficiency," Working Papers 19-3, HEC Montreal, Canada Research Chair in Risk Management, revised 04 Nov 2019.
  2. Charles Kahn & George Pennacchi & Ben Sopranzetti, 1999. "Bank Deposit Rate Clustering: Theory and Empirical Evidence," Journal of Finance, American Finance Association, vol. 54(6), pages 2185-2214, December.
  3. Qin Wang & Jun Zhang, 2016. "Trade Size Clustering In The E-Mini Index Futures Markets," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 39(3), pages 247-262, September.
  4. 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.
  5. Vladim'ir Hol'y & Petra Tomanov'a, 2021. "Modeling Price Clustering in High-Frequency Prices," Papers 2102.12112, arXiv.org, revised Mar 2021.
  6. Stenfors, Alexis, 2018. "Bid-ask spread determination in the FX swap market: Competition, collusion or a convention?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 54(C), pages 78-97.
  7. Li, Xin & Li, Shenghong & Xu, Chong, 2020. "Price clustering in Bitcoin market—An extension," Finance Research Letters, Elsevier, vol. 32(C).
  8. Antonios Antoniou & Constantinos E. Vorlow, 2004. "Price Clustering and Discreteness: Is there Chaos behind the Noise?," Papers cond-mat/0407471, arXiv.org.
  9. Koch, Alexander K. & Lazarov, Zdravetz, 2001. "Clustering of Trading Activity in the DAX Index Options Market," Bonn Econ Discussion Papers 30/2001, University of Bonn, Bonn Graduate School of Economics (BGSE).
  10. Ahmed S. Baig & Benjamin M. Blau & R. Jared DeLisle, 2022. "Does mutual fund ownership reduce stock price clustering? Evidence from active and index funds," Review of Quantitative Finance and Accounting, Springer, vol. 58(2), pages 615-647, February.
  11. Sean Salter & Ken Johnson & Ernest King, 2010. "Listing Specialization and Pricing Precision," The Journal of Real Estate Finance and Economics, Springer, vol. 40(3), pages 245-259, April.
  12. Justin Cox & Adam L. Schwartz & Bonnie F. Van Ness & Robert A. Van Ness, 2021. "The Predictive Power of College Football Spreads: Regular Season Versus Bowl Games," Journal of Sports Economics, , vol. 22(3), pages 251-273, April.
  13. Baig , Ahmed & Blau , Ben & Hao, Jie, 2020. "Accounting Information Quality and the Clustering of Stock Prices," American Business Review, Pompea College of Business, University of New Haven, vol. 23(2), pages 182-210, November.
  14. Owain ap Gwilym & Evamena Alibo, 2003. "Decreased price clustering in FTSE100 futures contracts following a transfer from floor to electronic trading," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 23(7), pages 647-659, July.
  15. Lien, Donald & Hung, Pi-Hsia & Lo, Hsiang-Yu, 2022. "Order Choices: An Intraday Analysis of the Taiwan Stock Exchange," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
  16. David L. Ikenberry & James P. Weston, 2008. "Clustering in US Stock Prices after Decimalisation," European Financial Management, European Financial Management Association, vol. 14(1), pages 30-54, January.
  17. Hasbrouck, Joel, 1999. "Security bid/ask dynamics with discreteness and clustering: Simple strategies for modeling and estimation1," Journal of Financial Markets, Elsevier, vol. 2(1), pages 1-28, February.
  18. Kirsten Rüchardt & Bodo Vogt, 2009. "Comparison of the Stock Price Clustering of stocks which are traded in the US and Germany—Is XETRA more efficient than the NYSE?," FEMM Working Papers 09016, Otto-von-Guericke University Magdeburg, Faculty of Economics and Management.
  19. Gunther Capelle-Blancard & Mo Chaudhury, 2007. "Price clustering in the CAC 40 index options market," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00265668, HAL.
  20. Blau, Benjamin M. & Griffith, Todd G., 2016. "Price clustering and the stability of stock prices," Journal of Business Research, Elsevier, vol. 69(10), pages 3933-3942.
  21. O'Connor, Fergal A. & Lucey, Brian M. & Batten, Jonathan A. & Baur, Dirk G., 2015. "The financial economics of gold — A survey," International Review of Financial Analysis, Elsevier, vol. 41(C), pages 186-205.
  22. Bill M. Cai & Charlie X. Cai & Kevin Keasey, 2007. "Influence of cultural factors on price clustering and price resistance in China's stock markets," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 47(4), pages 623-641, December.
  23. Nicolau, Mihaela & Palomba, Giulio, 2015. "Dynamic relationships between spot and futures prices. The case of energy and gold commodities," Resources Policy, Elsevier, vol. 45(C), pages 130-143.
  24. Palao, Fernando & Pardo, Ángel, 2014. "What makes carbon traders cluster their orders?," Energy Economics, Elsevier, vol. 43(C), pages 158-165.
  25. Telli, Şahin & Zhao, Xufeng, 2023. "Clustering in Bitcoin balance," Finance Research Letters, Elsevier, vol. 55(PA).
  26. H. Kent Baker & Satish Kumar & Nitesh Pandey, 2021. "Forty years of the Journal of Futures Markets: A bibliometric overview," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(7), pages 1027-1054, July.
  27. Robert Brooks & Edwyna Harris & Yovina Joymungul, 2013. "Price clustering in Australian water markets," Applied Economics, Taylor & Francis Journals, vol. 45(6), pages 677-685, February.
  28. Hu, Bill & McInish, Thomas & Miller, Jonathan & Zeng, Li, 2019. "Intraday price behavior of cryptocurrencies," Finance Research Letters, Elsevier, vol. 28(C), pages 337-342.
  29. Jena, Sangram Keshari & Tiwari, Aviral Kumar & Hammoudeh, Shawkat & Roubaud, David, 2019. "Distributional predictability between commodity spot and futures: Evidence from nonparametric causality-in-quantiles tests," Energy Economics, Elsevier, vol. 78(C), pages 615-628.
  30. Palao, Fernando & Pardo, Angel, 2012. "Assessing price clustering in European Carbon Markets," Applied Energy, Elsevier, vol. 92(C), pages 51-56.
  31. Christos Alexakis & Mark Cummins & Michael Dowling & Vasileios Pappas, 2018. "A high-frequency analysis of price resolution and pricing barriers in equities on the adoption of a new currency," Applied Economics, Taylor & Francis Journals, vol. 50(36), pages 3949-3965, August.
  32. Brown, Philip & Mitchell, Jason, 2008. "Culture and stock price clustering: Evidence from The Peoples' Republic of China," Pacific-Basin Finance Journal, Elsevier, vol. 16(1-2), pages 95-120, January.
  33. Xie, Xiaoyu & Zhu, Heliang, 2021. "The role of gold futures in mitigating the impact of economic uncertainty on spot prices: Evidence from China," Research in International Business and Finance, Elsevier, vol. 56(C).
  34. Chaudhry, Sajid M. & Bajoori, Elnaz & Nandeibam, Shasi, 2019. "Clustered pricing in the corporate loan market: Theory and empirical evidence," Journal of Economic Behavior & Organization, Elsevier, vol. 157(C), pages 275-296.
  35. Mazza, Paolo, 2015. "Price dynamics and market liquidity: An intraday event study on Euronext," The Quarterly Review of Economics and Finance, Elsevier, vol. 56(C), pages 139-153.
  36. Ahmed Baig & Benjamin M. Blau & Todd G. Griffith, 2021. "Firm Opacity and the Clustering of Stock Prices: the Case of Financial Intermediaries," Journal of Financial Services Research, Springer;Western Finance Association, vol. 60(2), pages 187-206, December.
  37. Carol L. Osler, 2001. "Currency orders and exchange-rate dynamics: explaining the success of technical analysis," Staff Reports 125, Federal Reserve Bank of New York.
  38. Kleimeier, S. & Chaudhry, S.M., 2013. "Negotiation and the clustering of corporate loan spreads," Research Memorandum 012, Maastricht University, Graduate School of Business and Economics (GSBE).
  39. Christos Alexakis & Mark Cummins & Michael Dowling & Vasileios Pappas, 2018. "A High-Frequency Analysis of Price Resolution and Pricing Barriers in Equities on the Adoption of a New Currency," Post-Print hal-01994666, HAL.
  40. Ke, Wen-Chyan & Chen, Hueiling & Lin, Hsiou-Wei W. & Liu, Yo-Chia, 2017. "The impact of numerical superstition on the final digit of stock price," The North American Journal of Economics and Finance, Elsevier, vol. 39(C), pages 145-157.
  41. Das, Sougata & Kadapakkam, Palani-Rajan, 2020. "Machine over Mind? Stock price clustering in the era of algorithmic trading," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
  42. Antoniou, Antonios & Vorlow, Constantinos E., 2005. "Price clustering and discreteness: is there chaos behind the noise?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 348(C), pages 389-403.
  43. Kwong Wing Chau & Danika Wright & Ervi Liusman, 2018. "The cost of a lucky price," ERES eres2018_240, European Real Estate Society (ERES).
  44. Jeon, Jin Q. & Lee, Cheolwoo, 2015. "A new measure for heated negotiation in the IPO syndicate," The North American Journal of Economics and Finance, Elsevier, vol. 33(C), pages 278-304.
  45. Grossman, Sanford J & Miller, Merton H & Cone, Kenneth R & Fischel, Daniel R & Ross, David J, 1997. "Clustering and Competition in Asset Markets," Journal of Law and Economics, University of Chicago Press, vol. 40(1), pages 23-60, April.
  46. Urquhart, Andrew, 2017. "Price clustering in Bitcoin," Economics Letters, Elsevier, vol. 159(C), pages 145-148.
  47. Utpal Bhattacharya & Wei-Yu Kuo & Tse-Chun Lin & Jing Zhao, 2019. "Do Superstitious Traders Lose Money?," HKUST IEMS Working Paper Series 2019-62, HKUST Institute for Emerging Market Studies, revised May 2019.
  48. Lin, Tse-Chun & Pursiainen, Vesa, 2021. "The round number heuristic and entrepreneur crowdfunding performance," Journal of Corporate Finance, Elsevier, vol. 68(C).
  49. Baig, Ahmed S. & Sabah, Nasim, 2020. "Does short selling affect the clustering of stock prices?," The Quarterly Review of Economics and Finance, Elsevier, vol. 76(C), pages 270-277.
  50. Joel Hasbrouck, 1998. "Security Bid/Ask Dynamics with Discreteness and Clustering: Simple Strategies for Modeling and Estimation," New York University, Leonard N. Stern School Finance Department Working Paper Seires 98-042, New York University, Leonard N. Stern School of Business-.
  51. Baig, Ahmed S. & Blau, Benjamin M. & Whitby, Ryan J., 2019. "Price clustering and economic freedom: The case of cross-listed securities," Journal of Multinational Financial Management, Elsevier, vol. 50(C), pages 1-12.
  52. Mensi, Walid & Sensoy, Ahmet & Vo, Xuan Vinh & Kang, Sang Hoon, 2020. "Impact of COVID-19 outbreak on asymmetric multifractality of gold and oil prices," Resources Policy, Elsevier, vol. 69(C).
  53. Elnaz Bajoori & Shasi Nandeibam & Sajid Mukhtar Chaudhry, 2016. "Clustered Pricing in the Corporate Loan Market: Theory and Empirical Evidence," Department of Economics Working Papers 57/17, University of Bath, Department of Economics.
  54. Donglian Ma & Hisashi Tanizaki, 2022. "Intraday patterns of price clustering in Bitcoin," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-25, December.
  55. Narayan, Paresh Kumar, 2022. "Evidence of oil market price clustering during the COVID-19 pandemic," International Review of Financial Analysis, Elsevier, vol. 80(C).
  56. Carol L. Osler, 2003. "Currency Orders and Exchange Rate Dynamics: An Explanation for the Predictive Success of Technical Analysis," Journal of Finance, American Finance Association, vol. 58(5), pages 1791-1820, October.
  57. Ben Sopranzetti & Emilio Venezian & Xiaoli Wang, 2006. "The Market for New Issues: Impact of Offering Price on Price Support and Underpricing," Review of Quantitative Finance and Accounting, Springer, vol. 26(2), pages 165-176, March.
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