Behavioral bias in number and the stability of stock price

Abstract

This study investigates the behavioral bias in numbers. It analyzes the relationship between behavioral bias in the number of last-digit quote prices and volatility as a proxy of market inefficiency from 2 January 2020 to 30 June 2020 of penny stock in the Thailand stock market. This period is interesting because the circuit breaker triggered due to the COVID-19 pandemic. This research studies the event that exogenous effect on volatility to find that the relation between volatility and behavioral bias is still the same. The exogenous effect is the stock exchange of Thailand changed regulations by reducing the ceiling and increasing the floor to minimize the stock price volatility after the circuit breaker is triggered.

The results show that penny stock in the Thailand stock market has bias behavioral in numbers with quote prices by ending digit 0. This study does not have evidence that bias behavior in the number of quote price impact volatility. These will provide evidence to the studies from Blau & Griffith (2016).