Abstract: Using half-year period tick-by-tick transaction data of Shanghai Stock Exchan ge (SSE) 50 index stocks, we empirically study price clustering on the SSE. The results indicate that price clustering is significant and exhibits the greatest effect at market opening period as for intraday pattern. Analyzing the regressio n of influence factors on price clustering, we find that stock price, volatility and each trading size have significant positive effects, and on the contrary, m arket liquidity value and daily number of trades exhibit significant negative ef fects. Finally, we also examine the clustering pattern of quote prices on the li mit order book and make some detailed analysis.