Price Clustering in Stocks from the WIG 20 Index

Paweł Miłobędzki ()
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Paweł Miłobędzki: University of Gdańsk

A chapter in Contemporary Trends and Challenges in Finance, 2020, pp 169-177 from Springer

Abstract: Abstract Using the transaction data on stocks included in the Warsaw Stock Exchange index WIG 20 from May to September 2017 I find that their prices tend to cluster on certain final digits as 0, 5 and 00. The probit analysis shows that the tendency for stock prices to cluster generally increases with increases in the traded volumes but not in the spreads. The response to one tick increase in the spread across the stocks is mixed in the sign and for the most of them—although statistically significant—is negligible in the magnitude.

Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:spr:prbchp:978-3-030-43078-8_14

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DOI: 10.1007/978-3-030-43078-8_14

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