Cultural Stock Price Clustering in the Chinese Equity Market

Hamish Anderson, Andrew Dunstan and Ben Marshall

Chinese Economy, 2015, vol. 48, issue 6, 449-467

Abstract: We use high-frequency data over a long period (1996–2009) to document the prevalence of cultural biases in the Chinese equity market where many Chinese see the numbers 8 and 4 as lucky and unlucky, respectively. We show that cultural clustering is pervasive across both exchanges and share classes but is declining over time. Cultural-driven order placement is more prevalent in higher-priced shares. The aversion to order prices ending in 4 is strong in bid orders but non-existent in ask orders, and the attraction to 8 is significantly greater in ask orders. Order prices also exhibit strategic placement to prioritize execution time.

Date: 2015
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://hdl.handle.net/10.1080/10971475.2015.1081810 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:mes:chinec:v:48:y:2015:i:6:p:449-467

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/MCES20

DOI: 10.1080/10971475.2015.1081810

Access Statistics for this article

More articles in Chinese Economy from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().