کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5091565 | 1375689 | 2006 | 17 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
An analysis of intraday patterns in price clustering on the Tokyo Stock Exchange
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
Stock prices tend to cluster at round numbers, a phenomenon observed in many markets. Using tick-by-tick transaction data, this article studies price clustering on the Tokyo Stock Exchange, which is a computerized limit order market. As for the intraday pattern, the degree of price clustering is greatest at the market opening. Then, it decreases during the first half hour and reaches a stable level. It does not increase again near the market closing. There is no clear difference in clustering between call auctions and continuous auctions.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Volume 30, Issue 3, March 2006, Pages 1023-1039
Journal: Journal of Banking & Finance - Volume 30, Issue 3, March 2006, Pages 1023-1039
نویسندگان
Wataru Ohta,