What type of study is this?

This is a Observational study (also classified as: Difference-in-Differences Analysis).

September 10, 2025The Journal of Financial Research

Price clustering and the informational efficiency of stock prices

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Authors

ABAhmed S. BaigBoise State University BBBenjamin M. BlauUtah State University TGTodd G. GriffithUtah State University

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Implication

Panel data tests reveal a link between price clustering and market inefficiency, suggesting treatment stocks underperformed during the Tick Size Pilot Program.

Key Points

Price clustering leads to less efficient stock prices, resulting in market inefficiency.
Panel data analysis reveals a positive association between price clustering and inefficiency in stock prices.
The difference-in-differences approach shows treatment stocks underperformed relative to control stocks during the pilot period.
There is a reversal effect observed following the end of the Tick Size Pilot Program, indicating causality.

Cite This Study

Baig et al. (2025) studied this question.

synapsesocial.com/papers/68c198b59b7b07f3a061a25f https://doi.org/10.1111/jfir.70020

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Implication

Panel data tests reveal a link between price clustering and market inefficiency, suggesting treatment stocks underperformed during the Tick Size Pilot Program.

Price clustering and the informational efficiency of stock prices

Discussion

Member takes

Implication

Key Points

Cite This Study

Price clustering and the informational efficiency of stock prices

Discussion

Member takes

Implication

Key Points

Cite This Study

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