Share price clustering in Mexico

Narayan, Paresh Kumar; Narayan, Seema; Popp, Stephan; D’Rosario, Michael

doi:10.1016/j.irfa.2011.02.003

Cited by 20 publications

(14 citation statements)

References 36 publications

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“…Moreover, empirical evidence indicates that prices tend to cluster on round increments in other assets besides stocks, such as bonds (Ap Gwilym et al, 1998), futures and options (Ni et al, 2005;Chung and Chiang, 2006), exchange rates (Sopranzetti and Datar, 2002;Mitchell and Izan, 2006), crude oil (Dowling et al, 2016;Narayan, 2022), betting markets (Brown and Yang, 2016), electricity markets (Lobão and Pinto, 2021) and cryptocurrencies (Urquhart, 2017;Xin et al, 2020).…”

Section: Price Clusteringmentioning

confidence: 99%

Efficiency and price clustering in Islamic stocks: evidence from three Asian countries

Lobão

2023

JIABR

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Purpose This paper aims to examine the extent of price clustering in a selection of Islamic stocks listed in Indonesia, Malaysia and Pakistan and also investigates the determinants of the phenomenon at the firm level. Design/methodology/approach The author test the uniformity of price distribution in the selected securities. Then, the determinants of price clustering were investigated through multivariate analysis based on a binary logistic regression model. Following the arguments of Narayan et al. (2011), who emphasize the importance of considering firm heterogeneity when studying the phenomenon, the author conducts the empirical study at the firm level. Findings The evidence indicates that Islamic stocks show a mild level of price clustering. Only half of the stocks under analysis rejected the uniformity test in the distribution of prices. In these cases, investors exhibited a preference for prices ending at zero and five. The evidence does not confirm the cultural clustering theories. Price clustering is found to be positively associated with price level and relative bid-ask spread. Overall, the negotiation hypothesis, which predicts that investors prefer round prices to minimize the costs associated with negotiations, best explains most of our results. Research limitations/implications The existence of price clustering is difficult to reconcile with the prediction of the efficient market hypothesis that prices should follow a random walk. Moreover, the evidence indicates that Muslim investors share a preference for round prices in some settings, under the assumption that Islamic stocks are mostly traded by Muslim investors. Originality/value To the author’s best knowledge, this is the first study to address the subject of price clustering in Islamic stocks.

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Section: Price Clusteringmentioning

confidence: 99%

Efficiency and price clustering in Islamic stocks: evidence from three Asian countries

Lobão

2023

JIABR

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“…In addition, the autocorrelations are positive, which implies that high volatility observed at date t -1 generates a high probability of observing high volatility at date t. This phenomenon is called clustering of volatility or simply clustering (Narayan, Narayan, Popp, & D'Rosario, 2011). In order to take these properties into account, several modelisations have been proposed.…”

Section: Model Developmentmentioning

confidence: 99%

Islamic, Green, and Conventional Cryptocurrency Market Efficiency During the Covid-19 Pandemic

Mnif

Jarboui

2021

JIMF

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Unlike conventional cryptocurrencies, Islamic ones are new technologies backed by tangible assets and are characterised by their fundamental values. After the COVID-19 outbreak, cryptocurrency responses have shown different behaviour to stock market reactions. However, there is a lack of studies on the efficiency of Islamic and green cryptocurrencies during the pandemic. This paper attempts to analyse the behaviour of three typical families of cryptocurrencies (conventional, Islamic, and green) extracted according to their availability in daily frequencies during COVID-19. For this purpose, their efficiency levels are studied before and after the outbreak by employing multifractal detrended fluctuation analysis (MFDFA) to make the best predictions and strategies. The inefficiency of the cryptocurrencies is assessed through a magnitude of long-memory (MLM) efficiency index, and the impact of COVID-19 on their efficiency is evaluated. The primary results show that HelloGold was the most efficient market before the COVID-19 outbreak and that subsequently Ethereum has been the mostefficient. In addition, the findings reveal that the cryptocurrency reactions are not similar and show more resilience in the Ethereum and Litecoin markets than in other cryptocurrency markets. The main contribution of this study is the evaluation of the impact of COVID-19 on the various classes of crypto money. This work has practical implications, as it provides new insights into trading opportunities and market reactions. Moreover, he work has theoretical implications based on its evaluation of three distinct models from different doctrine viewpoints.

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“…Our difference from Ahn et al (2002) is that we incorporate trading measures in the MRR model they used. Moreover, our study differs from Grammig et al (2006) in that our trading intensity measures in the MRR model express persistence in volatility, hence capturing momentum in trading as in Engle (2000) and Narayan et al (2011). This extension is supported by Renault and Werker (2004) who infer that return volatility and variation in trading intensity are potentially linked to the same news events.…”

Section: Introductionmentioning

confidence: 56%

“…The association between volatility persistence and trading intensity is well understood in the financial literature, with findings ranging from information effects (e.g., Lamoureux & Lastrapes, 1990) to trading effects (e.g., Gouriéroux, Jasiak, and Le Fol (1999)) and the clustering of trades (Engle (2000), and Narayan, Narayan, Popp, and D'Rosario (2011)). Engle and Russell (1998) introduce an autoregressive model that features momentum in trading.…”

Section: Introductionmentioning

confidence: 99%

The role of trading intensity estimating the implicit bid–ask spread and determining transitory effects

Sita

Westerholm

2011

International Review of Financial Analysis

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Share price clustering in Mexico

Cited by 20 publications

References 36 publications

Efficiency and price clustering in Islamic stocks: evidence from three Asian countries

Efficiency and price clustering in Islamic stocks: evidence from three Asian countries

Islamic, Green, and Conventional Cryptocurrency Market Efficiency During the Covid-19 Pandemic

The role of trading intensity estimating the implicit bid–ask spread and determining transitory effects

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