Determinants of price clustering of Islamic stocks in digit zero
| Company | Const. | Price (+) | Turnover (−) | Volatility (+) | Spread (+) | Percent classified correctly | McFadden R2 |
|---|---|---|---|---|---|---|---|
| Telekomunikasi Indonesia | −10.8057* (−1.905) | 1.5016** (1.985) | −0.1206 (−0.6648) | 0.2105 (1.271) | 0.5845** (2.062) | 87.0 | 0.006920 |
| Bumi Resources | −2.2437* (−1.788) | 2.1971** (2.107) | 0.0561 (0.428) | −0.2746* (−1.676) | 2.2404** (2.125) | 85.4 | 0.010461 |
| Petronas Chemical Group | −2.0974** (−2.132) | 0.7125** (2.127) | −0.0655 (−0.833) | 0.1801** (2.203) | 0.0275 (0.341) | 80.3 | 0.004329 |
| Press Metal Aluminium Hold. | 0.3091 (0.276) | 0.3094 (0.788) | 0.0839 (1.027) | 0.1939*** (2.688) | 0.1223 (1.571) | 79.4 | 0.006261 |
| Sime Darby Plantation | −2.6355*** (−3.272) | 1.0324*** (6.240) | 0.0024 (0.048) | −0.1781** (−1.987) | 0.1937** (2.052) | 82.7 | 0.026188 |
| IHH Healthcare | −0.0063 (−0.003) | 1.0634 (1.253) | 0.2307** (2.027) | 0.0359 (0.267) | 0.2631** (2.198) | 83.8 | 0.012146 |
| Company | Const. | Price (+) | Turnover (−) | Volatility (+) | Spread (+) | Percent classified correctly | McFadden R2 |
|---|---|---|---|---|---|---|---|
| Telekomunikasi Indonesia | −10.8057* (−1.905) | 1.5016** (1.985) | −0.1206 (−0.6648) | 0.2105 (1.271) | 0.5845** (2.062) | 87.0 | 0.006920 |
| Bumi Resources | −2.2437* (−1.788) | 2.1971** (2.107) | 0.0561 (0.428) | −0.2746* (−1.676) | 2.2404** (2.125) | 85.4 | 0.010461 |
| Petronas Chemical Group | −2.0974** (−2.132) | 0.7125** (2.127) | −0.0655 (−0.833) | 0.1801** (2.203) | 0.0275 (0.341) | 80.3 | 0.004329 |
| Press Metal Aluminium Hold. | 0.3091 (0.276) | 0.3094 (0.788) | 0.0839 (1.027) | 0.1939*** (2.688) | 0.1223 (1.571) | 79.4 | 0.006261 |
| Sime Darby Plantation | −2.6355*** (−3.272) | 1.0324*** (6.240) | 0.0024 (0.048) | −0.1781** (−1.987) | 0.1937** (2.052) | 82.7 | 0.026188 |
| IHH Healthcare | −0.0063 (−0.003) | 1.0634 (1.253) | 0.2307** (2.027) | 0.0359 (0.267) | 0.2631** (2.198) | 83.8 | 0.012146 |
Notes:
The table shows the results of the binomial logistic regression model (1). The dependent variable is a binary variable, which takes the value 1 if the last digit of the closing price on day t is zero and 0 otherwise. The independent variables are the log of the closing level in day t (price), the log of number of stocks (in thousands) traded in day t scaled by the number of outstanding shares (turnover), the log of the standard deviation of the stock’s daily returns in the previous 5 days (volatility), and the log of relative bid-ask spread in day t (spread). The expected sign of the coefficients according to the price negotiation hypothesis and the resolution hypotheses is indicated near the name of the independent variables. Z-statistics in parenthesis. *significance at the 10% level, **significance at the 5% level, *** significance at the 1% level
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