Price and trade size clustering: Evidence from the national stock exchange of India

Ajay Kumar Mishra and Trilochan Tripathy

The Quarterly Review of Economics and Finance, 2018, vol. 68, issue C, 63-72

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: Trade size clustering; Price clustering; Order driven market; Liquidity pattern; NSE (search for similar items in EconPapers)
JEL-codes: G12 G20 (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:quaeco:v:68:y:2018:i:c:p:63-72

DOI: 10.1016/j.qref.2017.11.006

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