Price clustering in foreign exchange spot markets |
| |
| Authors: | Ben J Sopranzetti Vinay Datar |
| |
| Institution: | 1. Price Clustering in Foreign Exchange Spot Markets, Department of Finance and Economics, Rutgers University, Faculty of Management, Janice H. Levin Building, New Brunswick, NJ 08854, USA;2. Department of Economics and Finance, Seattle University, Broadway and Madison, Seattle, Washington 98122-4460, USA;1. University of Notre Dame, USA;2. Department of Economics and Finance, University of Guelph, Guelph, Ontario, Canada N1G 2W1;1. School of Finance and Investment, Guangdong University of Finance, Guangzhou, 510521, China;2. Department of Economics, Sun Yat-sen University, Guangzhou, 510275, China;1. Department of Accounting and Finance, University of Bristol, Bristol BS8 1TN, UK;2. Faculty of Finance, Cass Business School, City University London, London EC1Y 8TZ, UK;1. Centre for Power and Energy Systems (CPES), INESC TEC, Porto, Portugal;2. Faculty of Engineering of University of Porto (FEUP), Porto, Portugal;1. Department of Writing Studies and Rhetoric, Hofstra University, Hempstead, NY, USA;2. Department of Psychiatry and Behavioral Sciences, New York Medical College, Valhalla, NY, USA;3. International Journal of Clinical Practice, Wiley, Oxford, United Kingdom |
| |
| Abstract: | This paper documents the existence of price clustering in the foreign exchange spot market for the German mark, the Japanese yen, the United Kingdom pound, the French franc, the Italian lira, and the Swedish krona. The U.S. dollar exchange rate indicative quotes for these currencies tend to exhibit clustering around right-most digits that end in either a “zero” or a “five.” The tendency for exchange rates to cluster has increased with increases in trading volume and volatility. Moreover, the tendency for exchange rates to cluster differs across currencies. |
| |
| Keywords: | International financial markets Currency Foreign exchange |
| 本文献已被 ScienceDirect 等数据库收录！ |
|
