The Price Clustering Evidence using the limit-order data
Post by MSF Chula at Friday, 21 December 2018 06:36 PM

This paper uses the limit-order data to examine the price clustering effect in Stock Exchange of Thailand (SET). Using the limit order data, the study finds the limit order tend to cluster at integer price, particularly in fine tick size under the step-function tick schedule. Second, the nonmarketable limit has a higher degree of price clustering than marketable limit order, indicating the aggressive limit order usually embed more information. Finally, the nonindividual investor group which includes foreign and institutional investors are likely to submit marketable limit order than individual investor group, indicating the information asymmetry between those two groups of the investor.

Last updated at Friday, 21 December 2018 06:36 PM