Share price clustering in Mexico
In this paper, we test the share price clustering phenomena and its determinants for the Mexican share market. We consider the top-12 listed companies. We observe cases of significant price clustering behaviour in the Mexican share market. Our analysis of the determinants of price clustering reveals that volume and volatility negatively impact price clustering, consistent with theory. However, own price has a negative effect on price clustering. While this is inconsistent with theory, it implies that in Mexico market participants are concerned about finer partitions of price.
Year of publication: |
2011
|
---|---|
Authors: | Narayan, Paresh Kumar ; Narayan, Seema ; Popp, Stephan ; D'Rosario, Michael |
Published in: |
International Review of Financial Analysis. - Elsevier, ISSN 1057-5219. - Vol. 20.2011, 2, p. 113-119
|
Publisher: |
Elsevier |
Subject: | Price clustering Share market Mexico |
Saved in:
Online Resource
Saved in favorites
Similar items by person
-
Share price clustering in Mexico
Narayan, Paresh Kumar, (2011)
-
Share price clustering in Mexico
Narayan, Paresh Kumar, (2011)
-
Is the efficient market hypothesis day-of-the-week dependent? : evidence from the banking sector
Narayan, Paresh Kumar, (2015)
- More ...