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

dc.citation.epage152en_US
dc.citation.issueNumber2en_US
dc.citation.spage137en_US
dc.citation.volumeNumber12en_US
dc.contributor.authorBooth, G. G.en_US
dc.contributor.authorYüksel, A.en_US
dc.date.accessioned2016-02-08T10:20:24Z
dc.date.available2016-02-08T10:20:24Z
dc.date.issued2006en_US
dc.departmentDepartment of Managementen_US
dc.description.abstractThis 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.en_US
dc.description.provenanceMade available in DSpace on 2016-02-08T10:20:24Z (GMT). No. of bitstreams: 1 bilkent-research-paper.pdf: 70227 bytes, checksum: 26e812c6f5156f83f0e77b261a471b5a (MD5) Previous issue date: 2006en
dc.identifier.doi10.1080/13518470500146017en_US
dc.identifier.eissn1466-4364
dc.identifier.issn1351-847X
dc.identifier.urihttp://hdl.handle.net/11693/23864
dc.language.isoEnglishen_US
dc.publisherRoutledgeen_US
dc.relation.isversionofhttp://dx.doi.org/10.1080/13518470500146017en_US
dc.source.titleEuropean Journal of Financeen_US
dc.subjectEmerging marketsen_US
dc.subjectIstanbul Stock Exchangeen_US
dc.subjectStock price clusteringen_US
dc.subjectTick sizeen_US
dc.titlePrice resolution in an emerging market: evidence from the Istanbul Stock Exchangeen_US
dc.typeArticleen_US

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