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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.54.4.513a5121d0-cb5d-4460-b2c2-4eb02caabf00
名前 / ファイル | ライセンス | アクション |
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ecos_54_4_51.pdf (1.3 MB)
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Item type | 紀要論文 / Departmental Bulletin Paper(1) | |||||
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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 | |||||
言語 | ja | |||||
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 | |||||
言語 | en | |||||
著者 |
太田, 亘
× 太田, 亘× OHTA, Wataru |
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アクセス権 | ||||||
アクセス権 | open access | |||||
アクセス権URI | http://purl.org/coar/access_right/c_abf2 | |||||
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. | |||||
言語 | en | |||||
内容記述タイプ | Abstract | |||||
出版者 | ||||||
言語 | ja | |||||
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 | |||||
出版タイプ | ||||||
出版タイプ | VoR | |||||
出版タイプResource | http://purl.org/coar/version/c_970fb48d4fbd8a85 | |||||
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 | PISSN | |||||
収録物識別子 | 0022-9725 | |||||
書誌情報 |
ja : 経済科学 巻 54, 号 4, p. 51-62, 発行日 2007-03-25 |
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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 |