Price clustering on the Australian stock exchange

Pacific Basin Finance Journal

Volumn 4, Issue 2-3, 1996, Pages 297-314

  Aitken, Michael ^a   Brown, Philip ^b   Buckland, Christine ^b   Izan, H Y ^b   Walter, Terry ^a  

^a UNIVERSITY OF SYDNEY   (Australia)

^b UNIVERSITY OF WESTERN AUSTRALIA   (Australia)

Author keywords

Australian stock exchange; Price clustering; Stock prices

Indexed keywords

EID: 0030191285     PISSN: 0927538X     EISSN: None     Source Type: Journal    
DOI: 10.1016/0927-538x(96)00016-9     Document Type: Article

References (16)

1. Aitken, M., P. Brown and T. Walter, 1993a, The bid/ask schedule under an automated trading regime. Working paper 93-33 (Research Centre in Accounting and Finance. The University of Western Australia, Nedlands).
2. Aitken, M., P. Brown and T. Walter, 1993b, Intraday patterns in returns, trading volume, volatility and trading frequency on SEATS, Working paper 93-32 (Research Centre in Accounting and Finance, The University of Western Australia, Nedlands).
3. Ball, R. and P. Brown, 1980, Risk and return from investments in the Australian mining industry: January 1958-February 1979, Australian Journal of Management 5, 45-66.
4. Ball, C.A., W.A. Torous and A.E. Tschoegl, 1985, The degree of price resolution: The case of the gold market, Journal of Futures Markets 5, 29-43.
5. Buckland, C., 1994, An investigation of the prevalence of price clustering on the Australian Stock Exchange, Unpublished BCom Honours thesis (The University of Western Australia, Nedlands).
6. Butler, D.H. and G. Loomes, 1988, Decision difficulty and imprecise preferences, Acta Psychologica 68, 183-196.
7. Christie, W.G. and P.M. Schultz, 1994, Why do NASDAQ market makers avoid odd-eighth quotes?, Journal of Finance 49, 1813-1840.
8. Damodaran, A. and M.G. Subrahmanyam, 1992, The effects of derivative securities on the markets for the underlying assets in the United States: A survey, Financial Markets, Institutions and Instruments 1, 1-21.
9. Easley, D. and M. O'Hara, 1987, Price, trade size and information in securities markets, Journal of Financial Economics 19, 69-90.
10. Goodhart, C. and R. Curcio 1991, The clustering of bid/ask prices and the spread in the foreign exchange market, Discussion paper no. 110. Financial Markets Group Discussion Paper Series (LSE, London).
11. Hameed, A. and E. Terry, 1994, The effect of tick size on price resolution, Unpublished paper presented to the Annual Conference of the Asia Pacific Finance Association, Sydney, 28-30 September 1994.
12. Harris, L., 1991, Stock price clustering and discreteness, Review of Financial Studies 4, 389-415.
13. Niederhoffer, V., 1965, Clustering of stock prices, Operations Research 13, 258-265.
14. Niederhoffer, V., 1966, A new look at clustering of stock prices, Journal of Business 39, 309-313.
15. Niederhoffer, V. and M.F.M. Osborne, 1966, Market making and reversal on the stock exchange, Journal of the American Statistical Association 61, 897-916.
16. Osborne, M.F.M., 1962, Periodic structure in the Brownian motion of stock prices, Operations Research 10, 345-379.