Price Clustering and Trade-Size Clustering in Taiwan Stock Market
碩士 === 國立暨南國際大學 === 財務金融學系 === 97 === 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...
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ndltd-TW-097NCNU03040172016-05-06T04:10:43Z http://ndltd.ncl.edu.tw/handle/85751270282616416342 Price Clustering and Trade-Size Clustering in Taiwan Stock Market 台灣股市價格叢聚與交易規模叢聚之研究 Wan-Fei Teng 鄧婉妃 碩士 國立暨南國際大學 財務金融學系 97 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 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 the quoted depth, but the firm size and the quoted spread have the negative effect on the rounded price. The factors 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. Bi-Shia Hong 洪碧霞 2009 學位論文 ; thesis 45 zh-TW |
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碩士 === 國立暨南國際大學 === 財務金融學系 === 97 === 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 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 the quoted depth, but the firm size and the quoted spread have the negative effect on the rounded price. The factors 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.
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Bi-Shia Hong |
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Bi-Shia Hong Wan-Fei Teng 鄧婉妃 |
author |
Wan-Fei Teng 鄧婉妃 |
spellingShingle |
Wan-Fei Teng 鄧婉妃 Price Clustering and Trade-Size Clustering in Taiwan Stock Market |
author_sort |
Wan-Fei Teng |
title |
Price Clustering and Trade-Size Clustering in Taiwan Stock Market |
title_short |
Price Clustering and Trade-Size Clustering in Taiwan Stock Market |
title_full |
Price Clustering and Trade-Size Clustering in Taiwan Stock Market |
title_fullStr |
Price Clustering and Trade-Size Clustering in Taiwan Stock Market |
title_full_unstemmed |
Price Clustering and Trade-Size Clustering in Taiwan Stock Market |
title_sort |
price clustering and trade-size clustering in taiwan stock market |
publishDate |
2009 |
url |
http://ndltd.ncl.edu.tw/handle/85751270282616416342 |
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