Price resolution in an emerging market: evidence from the Istanbul Stock Exchange

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.