Price clustering in stocks from the WIG 20 index
AbstractUsing the transaction data on stocks included in the Warsaw Stock Exchange index WIG 20 from May to September 2017 I find that their prices tend to cluster on certain final digits as 0,5 and 00. The probit analysis shows that the tendency for stock prices to cluster generally increases with increases in the traded volumes but not in the spreads. The response to one tick increase in the spread across the stocks is mixed in the sign and for the most of them although statistically significant is negligible in the magnitude.
|Publication size in sheets||0.50|
|Book||Jajuga Krzysztof, Locarek-Junge Hermann, Orłowski Lucjan T., Staehr Karsten (eds.): Contemporary Trends and Challenges in Finance: proceedings from the 5th Wroclaw International Conference in Finance, Springer Proceedings in Business and Economics, 2020, Springer, ISBN 978-3-030-43077-1, [978-3-030-43078-8], 259 p., DOI:10.1007/978-3-030-43078-8|
|Score||= 20.0, 11-05-2020, ChapterFromConference|
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