Stock Price Clustering and Factors Affecting on It in Iran Capital Market

Subject Areas : Journal of Investment Knowledge

Moslem  Peymany Foroushany ¹ (Assistant Professor of Finance, Allameh Tabataba'i University (Corresponding Author))
Amir Hossein  Erza ² (Assistant Professor of Finance, Allameh Tabataba'i University)
Mohammad Mahdi  Bahrololoum ³ (Assistant Professor of Finance, Allameh Tabataba'i University)

Received: 2017-05-03 Accepted : 2017-07-16 Published : 2018-06-22

Keywords: Price Clustering, Round Numbers, High Frequency Data,

Abstract :

Price clustering is the tendency of prices to be round numbers. This phenomenon is studied in different countries and in various financial variables and several hypotheses have been put forth to explain that. In this study, existence of this price clustering and factors affecting on it is tested in Iran capital market. To this, high frequency data is used and by means of statistical tests, the existence of price clustering is observed in Iran capital market. Furthermore, among all variables, only size, price and a dummy variable to distinguish between Tehran stock exchange and Iran Farabourse exchange, were effective on the intensity of price clustering and despite the expectations, size variable has a positive coefficient. Results are corresponded to odd-pricing, price resolution (just for price variable and not for size) and negotiation hypothesis.  

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