Stock price manipulation prevalence and determinants
Stock Price Manipulation: Prevalence and Determinants* Comerton-Forde, Carole (OXFORD UNIV PRESS, 2014-01-01) We empirically analyze the prevalence and economic underpinnings of closing price manipulation and its detection. We estimate that ∼1% of closing prices are manipulated, of which only a small fraction is detected and prosecuted. market manipulation by providing empirical evidence on the prevalence, effects and determinants of closing price manipulation. The first issue examined in this thesis is the prevalence of closing price manipulation. This thesis uses a hand collected sample of prosecuted closing price "Stock Price Manipulation: Prevalence and Determinants," Review of Finance, European Finance Association, vol. 18(1), pages 23-66. Eyup Kadioðluu & Guray Kuçukkocaoglu & Saim Kilic, 2015. " Closing price manipulation in Borsa Istanbul and the impact of call auction sessions ," Borsa Istanbul Review , Research and Business Development Abstract. Using account-level transaction data in options and futures markets, we investigate the existence of market manipulation, which is the ability of large traders to trade strategically, impacting prices and making abnormal profits. In particular, we show that on expiration dates the closing prices of stocks with listed options cluster at option strike prices. On each expiration date, the returns of optionable stocks are altered by an average of at least 16.5 basis points, which translates into aggregate market capitalization shifts on the order of $9 billion.
Talis Putnins is a Professor in the Finance Discipline Group at UTS and a member of the Quantitative Finance Research Centre. He has also held positions at the Stockholm School of Economics in Riga and the Baltic International Centre for Economic Policy Studies, and has been a Visiting Scholar at Columbia University and New York University.
Abstract. We empirically analyze the prevalence and economic underpinnings of closing price manipulation and its detection. We estimate that approximately one percent of closing prices are manipulated, of which only a small fraction is detected and prosecuted. Stock Price Manipulation: Prevalence and Determinants CAROLE COMERTON-FORDE 1 and TĀLIS J. PUTNIŅŠ 2,3 1 College of Business and Economics, Australian National University, Australia; 2 UTS Business School, University of Technology Sydney; 3 Stockholm School of Economics in Riga Forthcoming, Review of Finance Abstract We empirically analyze the prevalence and economic underpinnings of closing price manipulation and its detection. We estimate that approximately one percent of closing prices are manipulated, of Downloadable (with restrictions)! We empirically analyze the prevalence and economic underpinnings of closing price manipulation and its detection. We estimate that ∼1% of closing prices are manipulated, of which only a small fraction is detected and prosecuted. We find that stocks with high levels of information asymmetry and mid to low levels of liquidity are most likely to be manipulated. Publisher: OXFORD UNIV PRESS Publication Type: Journal Article Citation: REVIEW OF FINANCE, 2014, 18 (1), pp. 23 - 66 (44) Issue Date: 2014-01-01 Stock Price Manipulation: Prevalence and Determinants* By orcid:0000-0002-1618-0371, We empirically analyze the prevalence and economic underpinnings of closing price manipulation and its detection. We estimate that ∼1% of closing prices are manipulated, of which only a small fraction is detected and prosecuted. Stock Price Manipulation: Prevalence and Determinants Comerton-Forde, Carole; Putni, Tlis J. 2014-01-04 00:00:00 We empirically analyze the prevalence and economic underpinnings of closing price manipulation and its detection. We estimate that 1 of closing prices are manipulated, of which only a small fraction is detected and prosecuted.
Stock Price Manipulation: Prevalence and Determinants.. CAROLE COMERTON- FORDE 1 and TĀLIS J. PUTNIŅŠ 2,3. 1. College of Business and Economics,
The Effects of Market Makers and Stock Analysts in Emerging Markets. This is a Wiley-Blackwell Publishing paper. Wiley-Blackwell Publishing charges $42.00 . File name: irfi1140.pdf Size: 330K If you wish to purchase the right to make copies of this paper for distribution to others, please select the quantity. Tālis has done consulting and policy work for governments, stock exchanges, and financial institutions and served as an expert witness in legal cases in Europe, Asia, and Australia. Talis has a PhD in financial economics from the University of Sydney. Talis Putnins is a Professor in the Finance Discipline Group at UTS and a member of the Quantitative Finance Research Centre. He has also held positions at the Stockholm School of Economics in Riga and the Baltic International Centre for Economic Policy Studies, and has been a Visiting Scholar at Columbia University and New York University.
We empirically analyze the prevalence and economic underpinnings of closing price manipulation and its detection. We estimate that approximately one percent of closing prices are manipulated, of
Market manipulation is detrimental to stock markets and their participants. Manipulation harms investor confidence and discourages investor participation in Stock Price Manipulation: Prevalence and Determinants.. CAROLE COMERTON- FORDE 1 and TĀLIS J. PUTNIŅŠ 2,3. 1. College of Business and Economics, We then investigate the determinants of ramping alert incidence with a cross- sectional market manipulation may have been involved in the tracking stock.
In addition, both the one-minute returns and the proportion of partially hidden orders increased. In this paper, we develop an agency-based model of closing price manipulation, which can account for these phenomena. In addition, we discuss the optimal closing price mechanism under manipulation.
Market manipulation is detrimental to stock markets and their participants. Manipulation harms investor confidence and discourages investor participation in Stock Price Manipulation: Prevalence and Determinants.. CAROLE COMERTON- FORDE 1 and TĀLIS J. PUTNIŅŠ 2,3. 1. College of Business and Economics, We then investigate the determinants of ramping alert incidence with a cross- sectional market manipulation may have been involved in the tracking stock. 6 Dec 2018 This market manipulation harms investors' confidence, resulting in less participation Stock price manipulation: Prevalence and determinants. Stock market manipulation typically benefits manipulators at the expense of the firm and other Stock price manipulation: Prevalence and determinants. Review 13 Nov 2018 Stock price manipulation: Prevalence and determinants. Review of Finance, 18(1 ), 23-66. Cumming, D., Dannhauser, R., & Johan, S. (2015). 8 Jan 2018 Concerns regarding the prevalence of manipulation of closing prices have to the mechanisms used to close trading at stock exchanges around the world. The research further seeks to explore the determinants of price
Abstract. Using account-level transaction data in options and futures markets, we investigate the existence of market manipulation, which is the ability of large traders to trade strategically, impacting prices and making abnormal profits. In particular, we show that on expiration dates the closing prices of stocks with listed options cluster at option strike prices. On each expiration date, the returns of optionable stocks are altered by an average of at least 16.5 basis points, which translates into aggregate market capitalization shifts on the order of $9 billion. The Effects of Market Makers and Stock Analysts in Emerging Markets. This is a Wiley-Blackwell Publishing paper. Wiley-Blackwell Publishing charges $42.00 . File name: irfi1140.pdf Size: 330K If you wish to purchase the right to make copies of this paper for distribution to others, please select the quantity. Tālis has done consulting and policy work for governments, stock exchanges, and financial institutions and served as an expert witness in legal cases in Europe, Asia, and Australia. Talis has a PhD in financial economics from the University of Sydney. Talis Putnins is a Professor in the Finance Discipline Group at UTS and a member of the Quantitative Finance Research Centre. He has also held positions at the Stockholm School of Economics in Riga and the Baltic International Centre for Economic Policy Studies, and has been a Visiting Scholar at Columbia University and New York University.