دانلود رایگان مقاله لاتین خوشه بندی ثبات قیمت سهام از سایت الزویر
عنوان فارسی مقاله:
خوشه بندی قیمت و ثبات قیمت سهام
عنوان انگلیسی مقاله:
Price clustering and the stability of stock prices
سال انتشار : 2016
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بخشی از مقاله انگلیسی:
3. Empirical results
In this section, we begin exploring our hypothesis that price clustering destabilizes stock prices. In the first subsection below, we examine whether the contemporaneous volatility-clustering relation exists within our sample. In the following subsection, we conduct a series of tests to explore the causal relation between volatility and clustering in both univariate and multivariate analyses. 3.1. Price clustering and volatility - correlation We begin by estimating Pearson correlations between the variables reported in Table 1. These correlations are reported in Table 2 with p-values displayed in parentheses. We find that our two approximations for volatility are positively correlated with stock price clustering. The correlation coefficient between return volatility and clustering is 0.027 which is statistically significant at the 0.01 level. Similarly, price volatility is directly correlated with clustering with a reported coeffi- cient of 0.0495, which is significant at the 0.01 level. The remaining correlation coefficients are generally consistent with our expectations. For instance, we find that firm size is negatively correlated with both clustering percentage and volatility. In addition, both spreads and illiquidity are positively related to clustering and volatility. Fig. 1 plots the level of price clustering and both measures of volatility across our sample time period. The contemporaneous relation between volatility and clustering has been shown to hold in a multivariate setting. We therefore acknowledge the need to perform an analysis that controls for firm-specific characteristics, to ensure that this relation indeed exists within our sample. We estimate the following linear regression equation using least squares.
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کلمات کلیدی:
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