A Reexamination of Price Clustering and Trade-size Clustering in The Index Futures: Evidences From The E-mini S&P500 Market

• Main Authors: HSU, YU-CHANG, 許祐彰
• Other Authors: HSU, SHU-FANG
• Format: Others
• Language: zh-TW
• Published: 2017
• Online Access: http://ndltd.ncl.edu.tw/handle/9j2579

碩士 === 國立高雄應用科技大學 === 資訊管理研究所碩士班 === 105 === The clustering of financial products has always been a hot topic in area of market microstructure. However, most of the research in the past focuses on the study of price clustering, and the research on the study of size clustering is relatively small. But whether it is price clustering or trade-size clustering affects market liquidity and investor transaction costs. Therefore, the price clustering and trade-size clustering of financial products has always been the focus of the area of experts and scholars of financial topic. The study sample is the E-mini S&P500 index futures, the analysis covers the period September 1, 2013 through August 30, 2016. To analyze the futures market price clustering and trade-size clustering through long-term intraday trading data. The results show that the E-mini S & P500 index futures market does have obvious phenomenon of price clustering and trade-size clustering. But with the passage of time, the phenomenon of price clustering gradually reduced, while the phenomenon of trade-size clustering has increased significantly. The main reason for the study is that information trader split large orders into medium orders. This result is consistent with the stealth trading hypothesis of Barclay and Warner (1993). The price resolution of Ball et al. (1985) that when the tick size of financial products is too small, market investors tend to use more accurate price trades. Because the tick size of E-mini S & P500 index futures is too large. Therefore, the face of such a market, the information trader in turn through the way of demolition to hide the transaction information, resulting in the phenomenon of trade-size clustering increased year by year.