国立华大学财务金融学系教授.docVIP

Order Price Clustering on the Taiwan Stock Exchange 蕭朝興? 國立東華大學財務金融學系教授 王子湄 國立東華大學企業管理學系 Abstract Employing a rich sample of limit orders, trades, and quotes on the Taiwan Stock Exchange, this paper examines the clustering pattern of limit-order prices and several associated issues. The results, first, show strong evidence of orders clustering. Absolute tick size has more influence than relative tick size on price clustering in the market with a step-function tick schedule. Second, individual investors and mutual funds demonstrate the strongest tendency to cluster. Third, the non-marketable