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Price Clustering in Stocks from the WIG 20 Index

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Contemporary Trends and Challenges in Finance

Part of the book series: Springer Proceedings in Business and Economics ((SPBE))

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Abstract

Using the transaction data on stocks included in the Warsaw Stock Exchange index WIG 20 from May to September 2017 I find that their prices tend to cluster on certain final digits as 0, 5 and 00. The probit analysis shows that the tendency for stock prices to cluster generally increases with increases in the traded volumes but not in the spreads. The response to one tick increase in the spread across the stocks is mixed in the sign and for the most of them—although statistically significant—is negligible in the magnitude.

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Notes

  1. 1.

    The data are collected from Thomson Reuters Eikon 4 according to the Partnership Agreement between University of Gdańsk and Thomson Reuters.

  2. 2.

    The data in a greater detail are discussed in Miłobędzki and Nowak (2018a).

  3. 3.

    The price for any stock crossed the threshold except for JSW for which 63,278 observations are removed accordingly.

  4. 4.

    In case of the greater tick size the ending digits are 00, 05, …, 95.

  5. 5.

    In the case of ‘no clustering’ the probability of ending digit(s) Z (XZ) occurrence for the stocks of PLN 0.01 (0.05) minimum tick size equals to 0.1 (0.05). In such circumstance the median probability for stocks from the first group is 0.2876/0.1 = 2.876 as large as that for the ‘no clustering’ case while the median probability for stocks belonging to the second group is 0.1406/0.05 = 2.812 as large.

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Authors and Affiliations

  1. Department of Econometrics, Faculty of Management, University of Gdańsk, ul. Armii Krajowej 101, 81-824, Sopot, Poland

    Paweł Miłobędzki

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  1. Paweł Miłobędzki
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Correspondence to Paweł Miłobędzki .

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Editors and Affiliations

  1. Department of Financial Investments and Risk Management, Wroclaw University of Economics and Business, Wrocław, Poland

    Krzysztof Jajuga

  2. Faculty of Management and Economics, Technische Universität Dresden, Dresden, Sachsen, Germany

    Hermann Locarek-Junge

  3. Department of Economics and Finance, John F. Welch College of Business, Sacred Heart University, Fairfield, CT, USA

    Lucjan T. Orlowski

  4. Department of Economics and Finance, Tallinn University of Technology, Tallinn, Estonia

    Karsten Staehr

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Miłobędzki, P. (2020). Price Clustering in Stocks from the WIG 20 Index. In: Jajuga, K., Locarek-Junge, H., Orlowski, L., Staehr, K. (eds) Contemporary Trends and Challenges in Finance. Springer Proceedings in Business and Economics. Springer, Cham. https://doi.org/10.1007/978-3-030-43078-8_14

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