The degree of price resolution: The case of the gold market
Data from the London gold market are utilized to investigate the nature, frequency, and causes of rounding in transactions prices to the nearest 5, 10, 25, 50 or 100 cents. The basic theoretical model is presented and hypotheses formulated. The data consist of the morning and afternoon fixing prices...
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| Published in | The journal of futures markets Vol. 5; no. 1; pp. 29 - 43 |
|---|---|
| Main Authors | , , |
| Format | Journal Article |
| Language | English |
| Published |
New York
Wiley Subscription Services, Inc., A Wiley Company
01.04.1985
Published by J. Wiley in affiliation with the Center for the Study of Futures Markets, Columbia University Wiley Periodicals Inc |
| Subjects | |
| Online Access | Get full text |
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| Abstract | Data from the London gold market are utilized to investigate the nature, frequency, and causes of rounding in transactions prices to the nearest 5, 10, 25, 50 or 100 cents. The basic theoretical model is presented and hypotheses formulated. The data consist of the morning and afternoon fixing prices in London from January 2, 1975, to April 30, 1981. The results indicate that: 1. All returns are measured with error and therefore all empirical work is subject to subtle ''errors in variables problems.'' 2. The degree of rounding may be used as a new proxy in studies for the amount of information in the market. 3. The rules on rounding should be considered in the design of new financial contracts. 4. The market's organization may influence the precision with which prices are formed. The results have implications for the optimal design of securities. |
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| AbstractList | This article uses data from the London gold market to investigate the nature, frequency, and causes of rounding in transactions prices. The degree of price resolution--whether prices are quoted to the nearest 5, 10, 25, 50, or 100 cents-- is not constant, but rather is a function of the amount of information in the market, and the level and variability of the price. This article, therefore, provides further insight into the determination of prices in competitive markets. Data from the London gold market are utilized to investigate the nature, frequency, and causes of rounding in transactions prices to the nearest 5, 10, 25, 50 or 100 cents. The basic theoretical model is presented and hypotheses formulated. The data consist of the morning and afternoon fixing prices in London from January 2, 1975, to April 30, 1981. The results indicate that: 1. All returns are measured with error and therefore all empirical work is subject to subtle ''errors in variables problems.'' 2. The degree of rounding may be used as a new proxy in studies for the amount of information in the market. 3. The rules on rounding should be considered in the design of new financial contracts. 4. The market's organization may influence the precision with which prices are formed. The results have implications for the optimal design of securities. |
| Author | Tschoegl, Adrian E. Ball, Clifford A. Torous, Walter N. |
| Author_xml | – sequence: 1 givenname: Clifford A. surname: Ball fullname: Ball, Clifford A. – sequence: 2 givenname: Walter N. surname: Torous fullname: Torous, Walter N. – sequence: 3 givenname: Adrian E. surname: Tschoegl fullname: Tschoegl, Adrian E. |
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| Copyright | Copyright © 1985 Wiley Periodicals, Inc., A Wiley Company Copyright Wiley Periodicals Inc. Spring 1985 |
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| Notes | ark:/67375/WNG-GP911NC0-P ArticleID:FUT3990050105 istex:9D89B42418726F2469EC92BEF363F46AFF5C257C Assistant Professor of International Business at the Graduate School of Business Administration, The University of Michigan Assistant Professor of Finance at the Graduate School of Business Administration, The University of Michigan Assistant Professor of Statistics at the Graduate School of Business Administration, The University of Michigan |
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| PublicationTitle | The journal of futures markets |
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| PublicationYear | 1985 |
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| References_xml | – volume: 70 start-page: 393 issue: 3 year: 1980 end-page: 408 article-title: On the Impossibility of Informationally Efficient Markets publication-title: American Economic Review – volume: 75 start-page: 154 issue: 369 year: 1978 end-page: 160 article-title: Choosing Between Logistic Regression and Discriminant Analysis publication-title: Journal of the American Statistical Association – year: 1960 – volume: 25 start-page: 65 issue: 1 year: 1970 end-page: 81 article-title: Commodity Futures: Trends or Random Walks publication-title: Journal of Finance – volume: 1 start-page: 123 issue: 2 year: 1981 end-page: 155 article-title: Innovation, Competition, and New Contract Design in Futures Market publication-title: Journal of Futures Markets – volume: 4 start-page: 371 issue: 4 year: 1980 end-page: 379 article-title: Efficiency in the Gold Market—A Note publication-title: Journal of Banking and Finance – start-page: 345 year: 1981 end-page: 355 – volume: 75 start-page: 306 issue: 2 year: 1981 end-page: 318 article-title: The Emergence of Cooperation Among Egoists publication-title: American Political Science Review – volume: 34 start-page: 595 issue: 3 year: 1979 end-page: 607 article-title: Market Prices vs. Equilibrium Prices: Return's Variance, Serial Correlation, and the Role of the Specialist publication-title: Journal of Finance – volume: 1 start-page: 225 issue: 2 year: 1981 end-page: 253 article-title: Margins and Futures Contracts publication-title: Journal of Futures Markets – volume: 85 start-page: 969 issue: 5 year: 1977 end-page: 1000 article-title: Organized Futures Markets: Costs and Benefits publication-title: Journal of Political Economy – volume: 9 start-page: 77 issue: 1 year: 1982 end-page: 80 article-title: The Effect of Exchange Trading of Gold Options on the Volatility of the Underlying Asset publication-title: Economics Letters – volume: 61 start-page: 897 year: 1966 end-page: 916 article-title: Market Making and Reversal on the Stock Exchange publication-title: Journal of the American Statistical Association – year: 1984 – year: 1982 – volume: 10 start-page: 345 year: 1960 end-page: 379 article-title: Periodic Structure in the Brownian Motion of Stock Prices publication-title: Operations Research – volume: 84 start-page: 1215 issue: 6 year: 1976 end-page: 1237 article-title: Futures Trading and Market Information publication-title: Journal of Political Economy – volume: 16 start-page: 47 issue: 3 year: 1981 end-page: 54 article-title: Brownian Motion in the Treasury Bill Futures Market publication-title: Business Economics – volume: 53 start-page: 27 issue: 1 year: 1980 end-page: 44 article-title: A Theory of Self‐enforcing Agreements publication-title: Journal of Business – volume: 39 start-page: 390 year: 1966 end-page: 413 article-title: A New Look at Clustering of Stock Prices publication-title: Journal of Business – volume: 39 start-page: 59 issue: 1 year: 1983 end-page: 65 article-title: The Performance of Market Index Futures Contracts publication-title: Financial Analysts Journal – volume: 11 start-page: 131 year: 1961 end-page: 151 article-title: L'Attraction des Nombres Ronds et ses Consequences Economiques publication-title: Rěvue Francaise de Sociologie – volume: 90 start-page: 570 year: 1927 end-page: 579 article-title: On Reading a Scale publication-title: Journal of the Royal Statistical Society – volume: 30 start-page: 31 year: 1981 end-page: 60 article-title: Distribution of Final Digits in Data publication-title: The Statistician – volume: 53 start-page: 67 issue: 1 year: 1980 end-page: 78 article-title: On the Estimation of Security Price Volatilities from Historical Data publication-title: Journal of Business – volume: 13 start-page: 258 year: 1965 end-page: 265 article-title: Clustering of Stock Prices publication-title: Operations Research – volume-title: The Strategy of Conflict year: 1960 ident: e_1_2_1_19_1 contributor: fullname: Schelling Thomas C. – ident: e_1_2_1_20_1 doi: 10.1002/fut.3990010205 – ident: e_1_2_1_10_1 doi: 10.2307/2328052 – ident: e_1_2_1_13_1 doi: 10.1287/opre.13.2.258 – ident: e_1_2_1_8_1 doi: 10.1086/296072 – ident: e_1_2_1_7_1 doi: 10.1016/0378-4266(81)90030-3 – ident: e_1_2_1_15_1 doi: 10.1287/opre.10.3.345 – ident: e_1_2_1_18_1 – ident: e_1_2_1_21_1 doi: 10.1111/j.1540-6261.1970.tb00414.x – ident: e_1_2_1_26_1 doi: 10.1016/0165-1765(82)90100-8 – ident: e_1_2_1_27_1 doi: 10.1111/j.2397-2335.1927.tb01992.x – ident: e_1_2_1_4_1 doi: 10.1086/260509 – ident: e_1_2_1_22_1 doi: 10.1086/296069 – ident: e_1_2_1_2_1 doi: 10.2307/1961366 – volume: 75 start-page: 154 issue: 369 year: 1978 ident: e_1_2_1_17_1 article-title: Choosing Between Logistic Regression and Discriminant Analysis publication-title: Journal of the American Statistical Association contributor: fullname: Press S. James – ident: e_1_2_1_3_1 – volume: 39 start-page: 390 year: 1966 ident: e_1_2_1_12_1 article-title: A New Look at Clustering of Stock Prices publication-title: Journal of Business contributor: fullname: Neiderhoffer Victor – volume: 16 start-page: 47 issue: 3 year: 1981 ident: e_1_2_1_5_1 article-title: Brownian Motion in the Treasury Bill Futures Market publication-title: Business Economics contributor: fullname: Dale Charles – volume: 61 start-page: 897 year: 1966 ident: e_1_2_1_14_1 article-title: Market Making and Reversal on the Stock Exchange publication-title: Journal of the American Statistical Association doi: 10.1080/01621459.1966.10482183 contributor: fullname: Neiderhoffer Victor – ident: e_1_2_1_25_1 doi: 10.1016/0378-4266(80)90015-1 – ident: e_1_2_1_23_1 doi: 10.1002/fut.3990010213 – ident: e_1_2_1_24_1 doi: 10.1086/260617 – ident: e_1_2_1_16_1 doi: 10.2307/2987702 – ident: e_1_2_1_28_1 doi: 10.2469/faj.v39.n1.59 – ident: e_1_2_1_9_1 doi: 10.1111/j.1540-6261.1979.tb02127.x – ident: e_1_2_1_6_1 doi: 10.2307/3319520 – volume: 70 start-page: 393 issue: 3 year: 1980 ident: e_1_2_1_11_1 article-title: On the Impossibility of Informationally Efficient Markets publication-title: American Economic Review contributor: fullname: Grossman Sanford J. |
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| Snippet | Data from the London gold market are utilized to investigate the nature, frequency, and causes of rounding in transactions prices to the nearest 5, 10, 25, 50... This article uses data from the London gold market to investigate the nature, frequency, and causes of rounding in transactions prices. The degree of price... |
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| SubjectTerms | Bias Economic models Economic theory Equilibrium Futures Gold markets Hypotheses Market prices Prices Rates of return Statistical analysis Stock exchanges Studies |
| Title | The degree of price resolution: The case of the gold market |
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