東京証券取引所における価格クラスタリングと投資家選好

• 太田 亘

• OHTA Wataru

書誌事項

タイトル別名

• Price Clustering and Investor Preferences on the Tokyo Stock Exchange
• トウキョウ ショウケン トリヒキジョ ニ オケル カカク クラスタリング ト トウシカ センコウ

抄録

Transactions in stock exchanges frequently take place at round-number prices, which is referred to as price clustering. Using tick-by-tick transaction data from August 2001 to June 2003, this article investigates price clustering on the Tokyo Stock Exchange. The degree of price clustering on the exchange decreases with the relative tick sizes and market capitalization, and increases with price volatility and transaction sizes. After controlling the minimum trading values, stocks differing in tick sizes and in minimum trading units do not exhibit a different degree of price clustering. These results are not consistent with the preference hypothesis but rather with the price-resolution hyothesis.

収録刊行物

• 経済科学

  経済科学 54 (4), 51-62, 2007-03-25

  名古屋大学経済学会

詳細情報

• CRID: 1390290699606112512
• NII論文ID: 120000976588
• NII書誌ID: AN00069864
• DOI: 10.18999/ecos.54.4.51
• HANDLE: 2237/10492
• NDL書誌ID: 8745243
• ISSN: 00229725
• Web Site: https://nagoya.repo.nii.ac.jp/records/8741
• Web Site: https://ndlsearch.ndl.go.jp/books/R000000004-I8745243
• 本文言語コード: ja
• データソース種別:
  • JaLC
  • IRDB
  • NDL
  • CiNii Articles
• 抄録ライセンスフラグ: 使用可