台灣股市委託價格群聚現象之實證研究
An Empirical Study of Order Price Clustering in the Taiwan Stock Market
管理學報 ； 25 卷 3 期 (2008 / 06 / 01) ， 359 - 380。
, , Size clustering in the FTSE100 index futures market, Journal of Futures Markets, 2010, 30, 5
Abstract
Recent literature has begun to explore size clustering in financial markets. If a market is perfectly liquid, traders should be able to trade the exact amount that they desire; however, the presence of size clustering may prevent them from achieving optimal trade sizes. This study is novel in its investigation of size clustering in a futures market. We find that trade sizes cluster in a manner that is similar to the pattern of price clustering found in many financial markets. Importantly, we identify a trade-off between size resolution and price resolution. We also find that the number of distinct trade sizes increases with trade frequency and with intraday volatility, and increases at the end of each calendar quarter.
洪碧霞 鄧婉妃 (2013, 證券市場發展季刊)
Price Clustering and Trade-size Clustering in Taiwan Stock Market
Pi-Hsia Hung
Wan-Fei Teng
By using intraday trading data in Taiwan Stock Market, we first examine whether there exists price clustering and trade-size clustering. Second, to study whether there also exist price clustering or trade-size clustering across different investors, all investors are decomposed into five categories, named foreign investors, mutual funds, dealers, other institutions and individuals. Finally, we further investigate the determinants of price clustering and trade-size clustering. In our research, we first find there exists price clustering and trade-size clustering in Taiwan Stock Market. The price ends with 0 and 5 are more frequent than other figures, particularly with 0. After controlling for the trade-size
on the effect of the frequency of trades, results show that the frequency of trade-size clustering increases with trade-size. Second, price clustering and trade-size clustering exist across various investor types. Third, we find the relationship between price clustering and trade-size
clustering is not independent. The factors of price clustering include the inverse of the quote midpoint, the large trade, the firm size, whether the trade size is greater than the quoted depth or not, and the quoted spread.
A trade is more likely to be rounded in price when the stock price is high and when the trade size is greater than 20,000 shares or the quoted depth, but the firm size and the quoted spread have the negative effect on the
rounded price. The determinants of trade-size clustering are as follows: a trade is more likely to be rounded in size when the trade is large and when the trade follows a rounded size, but the stock price and the quoted depth have negative effect on the rounded size.
Keyword: Price Clustering, Trade-size Clustering, Tick Size, Investor
Types, Bivariate Probit Model.
S Shah, BW Brorsen - 2010 Annual Meeting, February 6-9, …, 2010 - core.kmi.open.ac.uk
T Verousis, O Ap Gwilym… - Available at SSRN …, 2014 - papers.ssrn.com
A Zuo, R Brooks, SA Wheeler, E Harris, H Bjornlund - Water, 2014 - mdpi.com
G Zhang, H Chen, F Cai - joebm.com
洪碧霞 鄧婉妃 (2013, 證券市場發展季刊)
Price Clustering and Trade-size Clustering in Taiwan Stock Market
Pi-Hsia Hung
Wan-Fei Teng
By using intraday trading data in Taiwan Stock Market, we first examine whether there exists price clustering and trade-size clustering. Second, to study whether there also exist price clustering or trade-size clustering across different investors, all investors are decomposed into five categories, named foreign investors, mutual funds, dealers, other institutions and individuals. Finally, we further investigate the determinants of price clustering and trade-size clustering. In our research, we first find there exists price clustering and trade-size clustering in Taiwan Stock Market. The price ends with 0 and 5 are more frequent than other figures, particularly with 0. After controlling for the trade-size
on the effect of the frequency of trades, results show that the frequency of trade-size clustering increases with trade-size. Second, price clustering and trade-size clustering exist across various investor types. Third, we find the relationship between price clustering and trade-size
clustering is not independent. The factors of price clustering include the inverse of the quote midpoint, the large trade, the firm size, whether the trade size is greater than the quoted depth or not, and the quoted spread.
A trade is more likely to be rounded in price when the stock price is high and when the trade size is greater than 20,000 shares or the quoted depth, but the firm size and the quoted spread have the negative effect on the
rounded price. The determinants of trade-size clustering are as follows: a trade is more likely to be rounded in size when the trade is large and when the trade follows a rounded size, but the stock price and the quoted depth have negative effect on the rounded size.
Keyword: Price Clustering, Trade-size Clustering, Tick Size, Investor
Types, Bivariate Probit Model.
Citing CC 06, but no APA
J Loebb - Available at SSRN 914003, 2006 - econbiz.deS Shah, BW Brorsen - 2010 Annual Meeting, February 6-9, …, 2010 - core.kmi.open.ac.uk
T Verousis, O Ap Gwilym… - Available at SSRN …, 2014 - papers.ssrn.com
A Zuo, R Brooks, SA Wheeler, E Harris, H Bjornlund - Water, 2014 - mdpi.com
G Zhang, H Chen, F Cai - joebm.com
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