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

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. (C) 2017 Board of Trustees of the University of Illinois. Published by Elsevier Inc. All rights reserved.