LAUSR

Short-Sale Restrictions and Price Clustering: Evidence from SEC Rule 201

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1 Published in 2018 at "Journal of Financial Services Research"

DOI: 10.1007/s10693-017-0272-7

Abstract: We provide a novel test of information-based theories of price clustering by examining trade, order, and the National Best Bid and Offer (NBBO) quote price clustering during periods when information is removed from the market.… read more here.

Keywords: short sale; price clustering; price; sec rule ... See more keywords

Price clustering in Bitcoin

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1 Published in 2017 at "Economics Letters"

DOI: 10.1016/j.econlet.2017.07.035

Abstract: Investor and media attention in Bitcoin has increased substantially in recently years, reflected by the incredible surge in news articles and considerable rise in the price of Bitcoin. Given the increased attention, there little is… read more here.

Keywords: price clustering; price; clustering bitcoin;

Price clustering in Bitcoin market—An extension

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1 Published in 2020 at "Finance Research Letters"

DOI: 10.1016/j.frl.2018.12.020

Abstract: Abstract This paper extends current literature on price clustering in Bitcoin market. We analyze intraday data of various time frames and document evidence of clustering for open, high and low prices. We discover and explain… read more here.

Keywords: bitcoin market; clustering bitcoin; price clustering; price ... See more keywords

Price clustering and sentiment in bitcoin

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1 Published in 2019 at "Finance Research Letters"

DOI: 10.1016/j.frl.2019.03.013

Abstract: Abstract While prior research provides evidence of price clustering in bitcoin, this study seeks to explain the unusual level of bitcoin price clustering using various measures of bitcoin-level and market-wide sentiment. Our results suggest that… read more here.

Keywords: bitcoin price; clustering sentiment; price clustering; price ... See more keywords

Price clustering and economic freedom: The case of cross-listed securities

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1 Published in 2019 at "Journal of Multinational Financial Management"

DOI: 10.1016/j.mulfin.2019.04.002

Abstract: This study develops and tests the hypothesis that economic freedom in a particular country can explain the level of price clustering in financial markets. The hypothesis is motivated by the idea that the lack of… read more here.

Keywords: clustering economic; japanese adrs; economic freedom; price clustering ... See more keywords