Price Clustering on the Tokyo Stock Exchange

Financial Review - Tập 42 Số 2 - Trang 289-301 - 2007
Aslı Aşçıoğlu1, Carole Comerton‐Forde2, Thomas H. McInish3
1BRYANT UNIVERSITY
2University of Sydney
3University of Memphis

Tóm tắt

AbstractThis paper examines price clustering on the Tokyo Stock Exchange (TSE). Regardless of tick and lot size, prices ending in zero and five are the most popular. The TSE has no market makers or direct negotiation between traders; therefore, clustering is not explained by collusion or negotiation. Our evidence supports the attraction hypothesis. Clustering also extends to order book depth. There is evidence of strategic trading behavior as traders place orders one price tick better than zero and five to avoid queuing orders at prices ending in these digits. Strategic trading behavior declined and clustering increased when the market became anonymous.

Từ khóa


Tài liệu tham khảo

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Thông tin xuất bản

Financial Review

Tập 42 Số 2

289-301

Thông tin tác giả