SEARCH

SEARCH BY CITATION

References

  • Ahn, H.-J., K.-H. Bae, and K. Chan, 2001. Limit orders, depth, and volatility: Evidence from the Stock Exchange of Hong Kong, Journal of Finance 56, 767788.
  • Ahn, H.-J., J. Cai, and Y.L. Cheung, 2005. Price clustering on the limit-order book: Evidence from the Stock Exchange of Hong Kong, Journal of Financial Markets 8, 421451.
  • Aitken, M., P. Brown, C. Buckland, H.Y. Izan, and T. Walter, 1996. Price clustering on the Australian Stock Exchange, Pacific-Basin Finance Journal 4, 297314.
  • Ap Gwilym, O. and E. Alibo, 2003. Decreased price clustering in FTSE 100 futures contracts following the transfer from floor to electronic trading, Journal of Futures Markets 23, 647659.
  • Ap Gwilym, O., A. Clare, and S. Thomas, 1998. Extreme price clustering in the London equity index futures and options markets, Journal of Banking and Finance 22, 11931206.
  • Aşçıoğlu, A., C. Comerton-Forde, and T.H. McInish, 2007. Price clustering on the Tokyo Stock Exchange, The Financial Review 42, 289301.
  • Ball, C.A., W.N. Torous, and A.E. Tschoegl, 1985. The degree of price resolution: The case of the gold market, Journal of Futures Markets 5, 2943.
  • Bloomfield, R., M. O'Hara, and G. Saar, 2005. The ‘make or take’ decision in an electronic market: Evidence on the evolution of liquidity, Journal of Financial Economics 75, 165200.
  • Boehmer, E. and E. Kelley, 2005. Institutional investors and informational efficiency of prices. Working paper , University of A&M .
  • Bollen, N.P.B., T. Smith, and R.E. Whaley, 2003. Optimal contract design: For whom? Journal of Futures Markets 23, 719750.
  • Bourghelle, D. and A. Cellier, 2007. Price and limit order clustering on financial markets: Empirical evidence from a centralized limit order market. Working paper, Lille 1 University.
  • Brennan, M.J. and H.H. Cao, 1997. International portfolio investment flows, Journal of Finance 52, 18511880.
  • Brennan, M.J. and A. Subrahmanyam, 1995. Investment analysis and price formation in securities markets, Journal of Financial Economics 38, 361382.
  • Chiao, C., Z.-M. Wang, and H.-L. Lai, 2007. Order submission behaviors and opening price behaviors in the Taiwan stock market. Working paper , National Dong Hwa University .
  • Christie, W.G. and P.H. Schultz, 1994. Why do Nasdaq market makers avoid odd-eighth quotes? Journal of Finance 49, 18131840.
  • Christie, W.G., J.H. Harris, and P.H. Schultz, 1994. Why did Nasdaq market makers stop avoiding odd-eighth quotes? Journal of Finance 49, 18411860.
  • Chung, K.H., K.A. Kim, and P. Kitsabunnarat, 2005. Liquidity and quote clustering in a market with multiple tick sizes, Journal of Financial Research 28, 177195.
  • Chung, K.H., B.F. Van Ness, and R.A. Van Ness, 2002. Spreads, depths, and quote clustering on the NYSE and Nasdaq: Evidence after the 1997 securities and exchange commission rule changes, The Financial Review 37, 481505.
  • Cooney, J.W., B.F. Van Ness, and R.A. Van Ness, 2003. Do investors prefer even-eighth prices? Evidence from NYSE limit orders, Journal of Banking and Finance 27, 719748.
  • Falkenstein, E.G., 1996. Preferences for stock characteristics as revealed by mutual fund portfolio holdings, Journal of Finance 51, 111135.
  • French, D.W. and T.W. Foster, 2002. Does price discreteness affect the increase in return volatility following stock splits? The Financial Review 37, 281294.
  • Glosten, L.R., 1994. Is the electronic open limit order book inevitable? Journal of Finance 49, 11271161.
  • Goodhart, C. and R. Curcio, 1991. The clustering of bid-ask prices and the spread in the foreign exchange market. Discussion paper 110, London School of Economics.
  • Griffiths, M.D., B.F. Smith, D. Alasdair, S. Turnbull, and R.W. White, 2000. The costs and determinants of order aggressiveness, Journal of Financial Economics 56, 6588.
  • Grossman, S.J., M.H. Miller, K.R. Cone, and D.R. Fischel, 1997. Clustering and competition in asset markets, Journal of Law and Economics 40, 2360.
  • Harris, L., 1991. Stock price clustering and discreteness, Review of Financial Studies 4, 389415.
  • Harris, L., 1997. Optimal dynamic order submission strategies in some stylized trading problems, Financial Markets, Institutions, and Instruments 7, 2674.
  • Hau, H., 2001. Location matters: An examination of trading profits, Journal of Finance 56, 19511983.
  • Huang, R.D. and H.R. Stoll, 1997. The components of the bid-ask spread: A general approach, Review of Financial Studies 7, 9951034.
  • Ikenberry, D. and J. Weston, 2008. Clustering in US stock prices after decimalization, European Financial Management 14, 3054.
  • Kahn, C., G. Pennachi, and B. Sopranzetti, 1999. Bank deposit rate clustering: Theory and empirical evidence, Journal of Finance 54, 21852214.
  • Kaniel, R. and H. Liu, 2006. So what orders do informed traders use? Journal of Business 79, 18671913.
  • Kavajecz, K. and E. Odders-White, 2004. Technical analysis and liquidity provision, The Review of Financial Studies 17, 10431071.
  • Koski, J.L. and J.T. Scruggs, 1998. Who trades around the ex-dividend day? Evidence from NYSE audit file data, Financial Management 27, 5872.
  • Lin, J.-C., G.C. Sanger, and G.G. Booth, 1995. Trade size and components of the bid ask spread, Review of Financial Studies 8, 11531183.
  • Niederhoffer, V., 1965. Clustering of stock prices, Operations Research 13, 258265.
  • Ohta, W., 2006. An analysis of intraday patterns in price clustering on the Tokyo Stock Exchange, Journal of Banking and Finance 30, 10231039.
  • O'Neill, M. and J. Swisher, 2003. Institutional investors and information asymmetry: An event study of self-tender offers, The Financial Review 38, 197211.
  • Osborne, M.F.M., 1962. Periodic structure in the Brownian motion of stock prices, Operations Research 10, 345379.
  • Osler, C.L., 2000. Currency orders and exchange rate dynamics: An explanation for the predictive success of technical analysis, Journal of Finance 58, 17911820.
  • Osler, C.L., 2003. Support for resistance: Technical analysis and intraday exchange rates, Federal Reserve Bank of New York Economic Policy Review 6, 5368.
  • Peterson, M. and E. Sirri, 2002. Order submission strategy and the curious case of marketable limit orders, Journal of Financial and Quantitative Analysis 37, 221241.
  • Schwartz, R.A. and J. Shapiro, 1992. The challenge of institutionalization for the equity market, in: A.Saunders, ed., Recent Development in Finance: Conference in Honor of Arnold Sametz (New York University Salomon Center, New York ).
  • Schwartz, A.L., B.F. Van Ness, and R.A. Van Ness, 2004. Clustering in the futures market: Evidence from S&P 500 futures contracts, Journal of Futures Markets 24, 413428.
  • Seasholes, M.S., 2004. Re-examining information asymmetries in emerging markets. Working paper , Haas School of Business, University of California .
  • Seppi, D.J., 1997. Liquidity provision with limit orders and a strategic specialist, Review of Financial Studies 10, 103150.
  • Shiller, R.J., 2000. Irrational Exuberance (Princeton University Press, Princeton ).
  • Sias, R.W., L.T. Starks, and S. Titman, 2006. Changes in institutional ownership and stock returns: Assessment and methodology, Journal of Business 79, 28692910.
  • Sofianos, G. and I.M. Werner, 2000. The trades of NYSE floor brokers, Journal of Financial Markets 3, 139176.
  • Sopranzetti, B.J. and V. Datar, 2002. Price clustering in foreign exchange spot markets, Journal of Financial Markets 5, 411417.