An analysis of intraday patterns in price clustering on the Tokyo Stock Exchange

Stock prices tend to cluster at round numbers, a phenomenon observed in many markets. Using tick-by-tick transaction data, this article studies price clustering on the Tokyo Stock Exchange, which is a computerized limit order market. As for the intraday pattern, the degree of price clustering is greatest at the market opening. Then, it decreases during the first half hour and reaches a stable level. It does not increase again near the market closing. There is no clear difference in clustering between call auctions and continuous auctions. (c) 2005 Elsevier B.V. All rights reserved.