Price and Trade-size Clustering and its relationship ─ Evidence from Taiwan Futures Contracts

• Main Authors: Ting-Han Lin, 林庭漢
• Other Authors: none
• Format: Others
• Language: zh-TW
• Published: 2016
• Online Access: http://ndltd.ncl.edu.tw/handle/5mrgc3

碩士 === 國立臺灣科技大學 === 財務金融研究所 === 104 === According to the past researches, we found that the phenomenon of price clustering and the trade-size clustering exist in the financial market. People usually react intuitionally when they are required to make decisions immediately or under an uncertain circumstance. In addition, the differences of people’s cognitive ability toward numbers will affect their intuitive reactions? For instance, many trader will select the integer numbers such as 0 or 5 in an irrational condition when they find the price and trading volume of futures change continuously. We mainly focus on the phenomenon of trade-size clustering and price clustering in this article. The result indicated that trade-size and trade-price clustered in 0 and 5 on TAIFEX. Furthermore, trade-size clustered in multiples of 10 is more significant than in multiples of 5. Then we divided traders into three groups, including dealers, institutional investors, and individual investors. What’s more, we observe that if there is any difference in these three groups of their trade-size clustering level and the result showed that individual investors have higher level of trade-size clustering than dealers. In terms of the previous conclusion, it implied that both of the trade sizes and pricing tails have clustering effect on TAIFEX. Therefore, we further explore whether there is a correlation between both of them. Then we obtain the results that both of the price clustering and the trade-size clustering are not independent each other by chi-square test.Besides, this article also indicated that the price clustering and the trade-size clustering have positive correlaion by proportion difference test.