Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
7383356 | The Quarterly Review of Economics and Finance | 2018 | 10 Pages |
Abstract
This paper investigates price and trade size clustering in individual trades executed in the NSE's fully computerized order-driven trading system. We also examine intraday return and liquidity patterns for the NSE traded stocks. We find a strong evidence of size and price clustering for the traded stocks. Size clustering occurs in the multiples of 500 shares. We witness a decreasing relationship between price clustering and trade price decimals for the full sample. Our results are consistent after controlling for the trade frequency and market capitalization.
Keywords
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Ajay Kumar Mishra, Trilochan Tripathy,