The implications of a price anchoring effect at the upstairs market of the London Stock Exchange

Alexander, 2007, An analysis of trade-size clustering and its relation to stealth trading, Journal of Financial Economics, 84, 435, 10.1016/j.jfineco.2006.02.005 Bagnoli, 2006, Nines in the endings of stock prices Barclay, 2003, Competition among trading venues: Information and trading on electronic communications networks, Journal of Finance, 58, 2637, 10.1046/j.1540-6261.2003.00618.x Barclay, 1993, Stealth trading and volatility: Which trades move prices?, Journal of Financial Economics, 34, 281, 10.1016/0304-405X(93)90029-B Bessembinder, 1997, The degree of price resolution and equity trading costs, Journal of Financial Economics, 45, 9, 10.1016/S0304-405X(97)00011-1 Bessembinder, 1997, A comparison of trade execution costs for NYSE and NASDAQ listed stocks, Journal of Financial and Quantitative Analysis, 32, 287, 10.2307/2331201 Bessembinder, 2004, Does an electronic stock exchange need an upstairs market?, Journal of Financial Economics, 73, 3, 10.1016/j.jfineco.2003.05.005 Bhattacharya, 2012, Penny wise, dollar foolish: Buy–sell imbalances on and around round numbers, Management Science, 58, 413, 10.1287/mnsc.1110.1364 Board, 2000, The proof is in the pudding: The effects of increased trade transparency in the London Stock Exchange, Journal of Business Finance and Accounting, 27, 887, 10.1111/1468-5957.00338 Board, 2000, Market maker performance: The search for fair weather market makers, Journal of Financial Services Research, 17, 259, 10.1023/A:1008102803467 Booth, 2002, Trading and pricing in upstairs and downstairs stock markets, Review of Financial Studies, 15, 1111, 10.1093/rfs/15.4.1111 Carollo, 2012, Trading activity and price impact in parallel markets: SETS vs. off-book market at the London Stock Exchange, Quantitative Finance, 12, 517, 10.1080/14697688.2012.664910 Chakrabarty, 2012, Short sales, long sales, and the Lee–Ready trade classification algorithm revisited, Journal of Financial Markets, 15, 467, 10.1016/j.finmar.2012.01.001 Chelley-Steeley, 2010, Efficiency and the trading system: The case of SETSmm, Journal of International Financial Markets Institutions and Money, 20, 509, 10.1016/j.intfin.2010.07.001 Chung, 2004, Trading costs and quote clustering on the NYSE and NASDAQ after decimalization, Journal of Financial Research, 27, 309, 10.1111/j.1475-6803.2004.00096.x Donaldson, 1993, Price barriers in the Dow Jones Industrial Average, Journal of Financial and Quantitative Analysis, 28, 313, 10.2307/2331416 Easley, 1987, Price, trade size, and information in securities markets, Journal of Financial Economics, 19, 69, 10.1016/0304-405X(87)90029-8 Finucane, 2000, A direct test of methods for inferring trade direction from intra-day data, Journal of Financial and Quantitative Analysis, 35, 553, 10.2307/2676255 Friederich, 2007, Dealer liquidity in an auction market: Evidence from the London Stock Exchange, The Economic Journal, 117, 1168, 10.1111/j.1468-0297.2007.02071.x Goodhart, 1991, The clustering of bid/ask prices and the spread in the foreign exchange market Grammig, 2001, Knowing me, knowing you: Trader anonymity and informed trading in parallel markets, Journal of Financial Markets, 4, 385, 10.1016/S1386-4181(01)00018-0 Hansch, 1998, Do inventories matter in dealership markets? Evidence from the London Stock Exchange, Journal of Finance, 53, 1623, 10.1111/0022-1082.00067 Harris, 1991, Stock price clustering and discreteness, Review of Financial Studies, 4, 389, 10.1093/rfs/4.3.389 Harris, 2002 Harris, 2003 Huang, 2001, Tick size, bid-ask spreads, and market structure, Journal of Financial and Quantitative Analysis, 36, 503, 10.2307/2676222 Johnson, 2008, Round numbers and security returns Madhavan, 1997, In search of liquidity: Block trades in the upstairs and downstairs markets, Review of Financial Studies, 10, 175, 10.1093/rfs/10.1.175 Portniaguina, 2006, Hybrid markets, tick size and investor trading costs, Journal of Financial Markets, 9, 433, 10.1016/j.finmar.2006.02.004 Rhodes-Kropf, 2005, Price improvement in dealership markets, Journal of Business, 78, 1137, 10.1086/430857 Seppi, 1990, Equilibrium block trading and asymmetric information, Journal of Finance, 45, 73, 10.1111/j.1540-6261.1990.tb05081.x Smith, 2001, Upstairs market for principal and agency trades: Analysis of adverse information and price effects, Journal of Finance, 56, 1723, 10.1111/0022-1082.00387 Tversky, 1974, Judgement under uncertainty: Heuristics and biases, Science, 185, 1124, 10.1126/science.185.4157.1124 Verousis, 2013, Trade size clustering and the cost of trading at the London Stock Exchange, International Review of Financial Analysis, 27, 91, 10.1016/j.irfa.2012.08.007