Price resolution in an emerging market: evidence from the Istanbul Stock Exchange
Date
2006
Authors
Booth, G. G.
YĆ¼ksel, A.
Editor(s)
Advisor
Supervisor
Co-Advisor
Co-Supervisor
Instructor
Source Title
European Journal of Finance
Print ISSN
1351-847X
Electronic ISSN
1466-4364
Publisher
Routledge
Volume
12
Issue
2
Pages
137 - 152
Language
English
Type
Journal Title
Journal ISSN
Volume Title
Series
Abstract
This study examines price resolution an emerging market that uses a very large relative tick size. Intraday transaction data from the Istanbul Stock Exchange are used to provide evidence concerning clustering when prices change and when they do not change. The results show that in this one-tick market there exists little if any clustering. The clustering that does exist primarily arises from sequential transactions at the same price. The observed positive relation between clustering associated with price changes and uncertainty occurs in periods of high uncertainty during which multiple-tick spreads and price changes are observed.