Price resolution in an emerging market: Evidence from the Istanbul Stock Exchange

G. Geoffrey Booth and Aydin Yuksel

The European Journal of Finance, 2006, vol. 12, issue 2, 137-152

Abstract: This study examines price resolution an emerging market that uses a very large relative tick size. Intraday transaction data from the Istanbul Stock Exchange are used to provide evidence concerning clustering when prices change and when they do not change. The results show that in this one-tick market there exists little if any clustering. The clustering that does exist primarily arises from sequential transactions at the same price. The observed positive relation between clustering associated with price changes and uncertainty occurs in periods of high uncertainty during which multiple-tick spreads and price changes are observed.

Keywords: Stock price clustering; tick size; emerging markets; Istanbul Stock Exchange (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (6)

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DOI: 10.1080/13518470500146017

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