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Price clustering in E‐mini and floor‐traded index futures

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  • Huimin Chung
  • Shumei Chiang

Abstract

This article sets out to investigate price clustering in both the open‐outcry (floor‐traded) and electronically traded (E‐mini) index futures markets of the DJIA, S&P 500, and NASDAQ‐100 indices. The results show that although price clustering is ubiquitous in both the floor‐traded and E‐mini index futures markets, it nevertheless tends to be higher for open‐outcry index futures, with the clustering in floor‐traded NASDAQ‐100 index futures demonstrating the highest level (97%) at zero digits. A significant increase was also found in price clustering in floor‐traded index futures after the introduction of E‐mini futures trading. The results tend to suggest that those trading mechanisms that involve higher levels of human participation, such as the open‐outcry markets, may well lead to increased incidences of price clustering. © 2006 Wiley Periodicals, Inc. Jrl Fut Mark 26: 269–295, 2006

Suggested Citation

  • Huimin Chung & Shumei Chiang, 2006. "Price clustering in E‐mini and floor‐traded index futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 26(3), pages 269-295, March.
    • Handle: RePEc:wly:jfutmk:v:26:y:2006:i:3:p:269-295
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    Cited by:

    1. Li, Xin & Li, Shenghong & Xu, Chong, 2020. "Price clustering in Bitcoin market—An extension," Finance Research Letters, Elsevier, vol. 32(C).
    2. Donglian Ma & Hisashi Tanizaki, 2022. "Intraday patterns of price clustering in Bitcoin," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-25, December.
    3. Qin Wang & Jun Zhang, 2016. "Trade Size Clustering In The E-Mini Index Futures Markets," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 39(3), pages 247-262, September.
    4. Ahmed S. Baig & Benjamin M. Blau & R. Jared DeLisle, 2022. "Does mutual fund ownership reduce stock price clustering? Evidence from active and index funds," Review of Quantitative Finance and Accounting, Springer, vol. 58(2), pages 615-647, February.
    5. Quiroga-Garcia, Raquel & Pariente-Martinez, Natalia & Arenas-Parra, Mar, 2022. "Evidence for round number effects in cryptocurrencies prices," Finance Research Letters, Elsevier, vol. 47(PB).
    6. Karan Bhanot & Valeria Martinez & Zi Ning & Yiuman Tse, 2008. "Competition for Order Flow and Market Quality in the Gold and Silver Futures Markets," Working Papers 0036, College of Business, University of Texas at San Antonio.
    7. Das, Sougata & Kadapakkam, Palani-Rajan, 2020. "Machine over Mind? Stock price clustering in the era of algorithmic trading," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).

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