Exploring the Nordic numbers: an analysis of price clustering in Scandinavian stocks

• Type: Article in International Scientific Journal
• Date: 2024

Authors

Lobao, J (Author) FEP; Pacheco, L (Author) Other; Carvalho, D (Author) Other

Journal

Title: Review of Behavioral Finance

Vol. 16 No. 6

Pages: 1012-1028

ISSN: 1940-5979

Publisher: Emerald

Indexing

ISI Web of Knowledge - 0 Citations

Scopus - 0 Citations

Other information

Authenticus ID: P-010-YD1

DOI: 10.1108/rbf-01-2024-0007

Abstract (EN): PurposeThis paper investigates share price clustering and its determinants across Nasdaq Stockholm, Copenhagen, Helsinki, and Iceland.Design/methodology/approachThis paper investigates share price clustering and its determinants across Nasdaq Stockholm, Copenhagen, Helsinki, and Iceland. Univariate analysis confirms widespread clustering, notably favouring closing prices ending in zero. Multivariate analysis explores the impact of firm size, price level, volatility, and turnover on clustering.FindingsUnivariate analysis confirms widespread clustering, notably favouring closing prices ending in zero. Multivariate analysis explores the impact of firm size, price level, volatility, and turnover on clustering. Results reveal pervasive clustering, strengthening with higher prices and turnover but weakening with larger trade volumes, firm size, and smaller tick sizes. These empirical findings support the theoretical expectations of price negotiation and resolution hypotheses.Practical implicationsThe observed clustering presents an opportunity for investors to potentially capitalize on this market anomaly and achieve supra-normal returns.Originality/valuePrice clustering, the phenomenon where certain price levels are traded more frequently, challenges the efficient market hypothesis and has been extensively studied in financial markets. However, the Scandinavian stock markets, particularly those in the Nasdaq Nordic Exchange, remain unexplored in this context.

Language: English

Type (Professor's evaluation): Scientific

No. of pages: 17