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Price Manipulation by Dissemination of Rumors: Evidence from the Indonesian Stock Market

Author

Listed:
  • Dewa Gede Wirama

    (Fakultas Ekonomi Universitas Udayana, Bali, Indonesia,)

  • I Gusti Bagus Wiksuana

    (Fakultas Ekonomi Universitas Udayana, Bali, Indonesia)

  • Zuraidah Mohd-Sanusi

    (Accounting Research Institute, Universiti Teknologi MARA, Malaysia,)

  • Soheil Kazemian

    (Accounting Research Institute, Universiti Teknologi MARA, Malaysia.)

Abstract

This study examines stock market reactions to the publication of rumors in Indonesia market. Using 672 market rumors published in the electronic version of the Investor Daily Indonesia newspaper for the period starting from 3August 2007 to 31 December 2008, this research shows that market rumors were intentionally published by sellers to attract buyers. They are a part of a manipulation scheme that is intended to enable the manipulator to sell at higher prices stocks that they previously accumulated at lower prices. The findings of this research indicate that the stock market is not fully efficient as prices could be manipulated by rumors. Consequently, the existence of market rumors should be considered in timing the buy and sell decision. Regulators might also want to put into effect stronger regulation against spreading false information to protect the small and usually less informed investors.

Suggested Citation

  • Dewa Gede Wirama & I Gusti Bagus Wiksuana & Zuraidah Mohd-Sanusi & Soheil Kazemian, 2017. "Price Manipulation by Dissemination of Rumors: Evidence from the Indonesian Stock Market," International Journal of Economics and Financial Issues, Econjournals, vol. 7(1), pages 429-434.
    • Handle: RePEc:eco:journ1:2017-01-55
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    References listed on IDEAS

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    Cited by:

    1. Yoke Yue Kan, 2018. "Capital market offenses in Malaysia," Qualitative Research in Financial Markets, Emerald Group Publishing Limited, vol. 10(2), pages 171-188, May.

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    More about this item

    Keywords

    Rumor; Market Manipulation; Abnormal Return; Investment Decision; Regulation;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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