Price Clustering in Bank Stocks During the Global Financial Crisis

• Type: Article in International Scientific Journal
• Date: 2019

Authors

Lobão, J (Author) FEP; Pacheco, L (Author) Other; Alves, L (Author) Other

Journal

Title: Scientific Annals of Economics and Business

Vol. 66

Pages: 465-486

ISSN: 2501-1960

Publisher: Alexandru Ioan Cuza University of Iasi

Indexing

ISI Web of Knowledge - 0 Citations

Scopus - 6 Citations

Other information

Authenticus ID: P-010-RWT

DOI: 10.2478/saeb-2019-0043

Abstract (EN): Market anomalies are one of the most intriguing and fascinating phenomena observed in financial markets. This paper examines the incidence of price clustering in US and European bank stocks during the Global Financial Crisis. The results reveal a significant level of price clustering in European and US banks' samples, which is difficult to reconcile with the Efficient Market hypothesis. The Attraction hypothesis and the Price Resolution/Negotiation hypothesis seem to be the best explanations for the clustering effect. However, the results also suggest that the uncertainty associated with the crisis did not have a significant impact in the clustering levels, which is at odds with the recently proposed Panic Trading hypothesis. Surprisingly, we observe a tendency to have less price clustering during the period of crisis and banks located in countries mostly affected by the European sovereign debt crisis exhibit lower levels of price clustering. These results are consistent with the idea that investors tend to be more analytical in their appraisals in periods of negative sentiment.

Language: English

Type (Professor's evaluation): Scientific

No. of pages: 22