An Empirical Study of Price Clustering in the Taiwan Stock Index Futrues Contract on the Taifex

• Main Authors: Ming-tang Liou, 劉明棠
• Other Authors: Hsiu-yi Ting
• Format: Others
• Language: zh-TW
• Published: 2006
• Online Access: http://ndltd.ncl.edu.tw/handle/45540147521712090011

碩士 === 國立高雄第一科技大學 === 金融營運所 === 94 === ABSTRACT This paper provides the evidence of price clustering for the Taiwan stock index options contract traded on the Taiwan Futures Exchange (TAIFEX) by using intraday quoted and traded prices. The results show that last digits of quoted and traded prices are significantly different from the uniform distribution that would be expected if prices were randomly selected from separate sets of Taiwan stock index options contract. The intraday pattern of price clustering is also found in the Taiwan stock index options. An extremely high percentage of price clustering appears at the opening, with a moderately low percentage near the closing for a trading day. GMM estimation results document that the degree of price clustering increases in the periods with high volatility, bid-ask spreads, degree of divergence from the strike price and price level, and decreases in the periods with high transaction frequency, transaction volume, and order imbalance. In addition, the results indicate that the price clustering tends to occur on the last trading day for the options contract.