Price and trade size clustering: Evidence from the national stock exchange of India

Abstract

This paper investigates price and trade size clustering in individual trades executed in the NSE’s fully computerized order-driven trading system. We also examine intraday return and liquidity patterns for the NSE traded stocks. We find a strong evidence of size and price clustering for the traded stocks. Size clustering occurs in the multiples of 500 shares. We witness a decreasing relationship between price clustering and trade price decimals for the full sample. Our results are consistent after controlling for the trade frequency and market capitalization.