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  1. A400 経済学部/経済学研究科
  2. A400b 紀要
  3. 経済科学
  4. 54(4)

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

https://doi.org/10.18999/ecos.54.4.51
https://doi.org/10.18999/ecos.54.4.51
3a5121d0-cb5d-4460-b2c2-4eb02caabf00
名前 / ファイル ライセンス アクション
ecos_54_4_51.pdf ecos_54_4_51.pdf (1.3 MB)
Item type 紀要論文 / Departmental Bulletin Paper(1)
公開日 2008-09-02
タイトル
タイトル 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
その他のタイトル
その他のタイトル Price Clustering and Investor Preferences on the Tokyo Stock Exchange
著者 太田, 亘

× 太田, 亘

WEKO 24597

太田, 亘

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OHTA, Wataru

× OHTA, Wataru

WEKO 24598

OHTA, Wataru

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抄録
内容記述 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.
内容記述タイプ Abstract
出版者
出版者 名古屋大学経済学会
言語
言語 jpn
資源タイプ
資源 http://purl.org/coar/resource_type/c_6501
タイプ departmental bulletin paper
ID登録
ID登録 10.18999/ecos.54.4.51
ID登録タイプ JaLC
ISSN(print)
収録物識別子タイプ ISSN
収録物識別子 0022-9725
書誌情報 経済科学

巻 54, 号 4, p. 51-62, 発行日 2007-03-25
フォーマット
application/pdf
著者版フラグ
値 publisher
URI
識別子 http://hdl.handle.net/2237/10492
識別子タイプ HDL
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