Article ID Journal Published Year Pages File Type
5085181 International Review of Financial Analysis 2011 7 Pages PDF
Abstract
In this paper, we test the share price clustering phenomena and its determinants for the Mexican share market. We consider the top-12 listed companies. We observe cases of significant price clustering behaviour in the Mexican share market. Our analysis of the determinants of price clustering reveals that volume and volatility negatively impact price clustering, consistent with theory. However, own price has a negative effect on price clustering. While this is inconsistent with theory, it implies that in Mexico market participants are concerned about finer partitions of price.
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Authors
, , , ,