篇名 | Impact of Tick-Size Reduction on the Price Clustering: Evidence from the Emerging Order-Driven Market |
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卷期 | 15:4 |
作者 | Hsieha, Tzung-yuan 、 Lin,Ching-chung |
頁次 | 517-532 |
關鍵字 | Intraday pattern 、 order-driven market 、 price clustering 、 price resolution hypothesis 、 tick-size reduction 、 Scopus 、 TSSCI |
出刊日期 | 201012 |
This paper investigates the effect of tick-size reduction on price clustering in the Taiwanese Stock Market. The empirical results show that zero is the most favored, followed by five, and that the even numbers are more preferred than the odd numbers. Because these phenomena still exist even after tick-size reduction, price clustering can be ascribed to the
natural preference for specific numbers rather than to the market structure, which supports the attraction hypothesis. Further, the intraday price clustering during the first 30 minutes is the
largest, exhibiting an L-shaped pattern. Besides, after tick-size reduction the degree of price clustering increases and the increases in intraday price clustering during the first 30 minutes are the largest. Finally, in both the pre-reduction or post-reduction period, stock price is the most important variable in explaining price clustering, which supports the price resolution hypothesis