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The manipulation of closing prices

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  • Hillion, Pierre
  • Suominen, Matti
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Financial Markets.

    Volume (Year): 7 (2004)
    Issue (Month): 4 (October)
    Pages: 351-375

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    Handle: RePEc:eee:finmar:v:7:y:2004:i:4:p:351-375

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    Web page: http://www.elsevier.com/locate/finmar

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    1. Felixson, Karl & Pelli, Anders, 1999. "Day end returns--stock price manipulation," Journal of Multinational Financial Management, Elsevier, vol. 9(2), pages 95-127, March.
    2. Harris, Lawrence, 1989. "A Day-End Transaction Price Anomaly," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(01), pages 29-45, March.
    3. Grossman, Sanford J & Miller, Merton H, 1988. " Liquidity and Market Structure," Journal of Finance, American Finance Association, vol. 43(3), pages 617-37, July.
    4. Harrison Hong & Jiang Wang, 2000. "Trading and Returns under Periodic Market Closures," Journal of Finance, American Finance Association, vol. 55(1), pages 297-354, 02.
    5. Madhavan, Ananth & Cheng, Minder, 1997. "In Search of Liquidity: Block Trades in the Upstairs and Downstairs Markets," Review of Financial Studies, Society for Financial Studies, vol. 10(1), pages 175-203.
    6. Kumar, Praveen & Seppi, Duane J, 1992. " Futures Manipulation with "Cash Settlement."," Journal of Finance, American Finance Association, vol. 47(4), pages 1485-502, September.
    7. Foster, F Douglas & Viswanathan, S, 1990. "A Theory of the Interday Variations in Volume, Variance, and Trading Costs in Securities Markets," Review of Financial Studies, Society for Financial Studies, vol. 3(4), pages 593-624.
    8. Cushing, David & Madhavan, Ananth, 2000. "Stock returns and trading at the close," Journal of Financial Markets, Elsevier, vol. 3(1), pages 45-67, February.
    9. Brock, William A. & Kleidon, Allan W., 1992. "Periodic market closure and trading volume : A model of intraday bids and asks," Journal of Economic Dynamics and Control, Elsevier, vol. 16(3-4), pages 451-489.
    10. Seppi, Duane J, 1990. " Equilibrium Block Trading and Asymmetric Information," Journal of Finance, American Finance Association, vol. 45(1), pages 73-94, March.
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    Cited by:
    1. Comerton-Forde, Carole & Putnins, Talis J., 2011. "Measuring closing price manipulation," Journal of Financial Intermediation, Elsevier, vol. 20(2), pages 135-158, April.
    2. Kandel, Eugene & Rindi, Barbara & Bosetti, Luisella, 2012. "The effect of a closing call auction on market quality and trading strategies," Journal of Financial Intermediation, Elsevier, vol. 21(1), pages 23-49.
    3. Comerton-Forde, Carole & Rydge, James, 2006. "Call auction algorithm design and market manipulation," Journal of Multinational Financial Management, Elsevier, vol. 16(2), pages 184-198, April.
    4. Tālis J. Putniņš, 2012. "Market Manipulation: A Survey," Journal of Economic Surveys, Wiley Blackwell, vol. 26(5), pages 952-967, December.
    5. Aitken, Michael & Cumming, Douglas & Zhan, Feng, 2013. "Exchange trading rules, surveillance and insider trading," CFS Working Paper Series 2013/15, Center for Financial Studies (CFS).
    6. Gallagher, David R. & Gardner, Peter & Swan, Peter L., 2009. "Portfolio pumping: An examination of investment manager quarter-end trading and impact on performance," Pacific-Basin Finance Journal, Elsevier, vol. 17(1), pages 1-27, January.
    7. Robin Hanson, 2006. "Designing real terrorism futures," Public Choice, Springer, vol. 128(1), pages 257-274, July.
    8. Yu Chuan Huang & Shu Hui Chan, 2010. "Trading Behavior on Expiration Days and Quarter-End Days: The Effect of a New Closing Method," Emerging Markets Finance and Trade, M.E. Sharpe, Inc., vol. 46(4), pages 105-125, January.
    9. Comerton-Forde, Carole & Rydge, James, 2006. "The influence of call auction algorithm rules on market efficiency," Journal of Financial Markets, Elsevier, vol. 9(2), pages 199-222, May.
    10. Agarwalla, Sobhesh Kumar & Jacob, Joshy & Varma, Jayanth R., . "High Frequency Manipulation at Futures Expiry: The Case of Cash Settled Indian Single Stock Futures," IIMA Working Papers WP2014-02-01, Indian Institute of Management Ahmedabad, Research and Publication Department.
    11. Carole Comerton-Forde & Tālis Putniņš, 2011. "Pricing accuracy, liquidity and trader behavior with closing price manipulation," Experimental Economics, Springer, vol. 14(1), pages 110-131, March.
    12. John F. Pinfold & Danyang He, 2012. "The impact of introducing a pre-close on the New Zealand share market," Journal of Financial Regulation and Compliance, Emerald Group Publishing, vol. 20(1), pages 99-110, February.
    13. Cumming, Douglas & Johan, Sofia & Li, Dan, 2011. "Exchange trading rules and stock market liquidity," Journal of Financial Economics, Elsevier, vol. 99(3), pages 651-671, March.
    14. Comerton-Forde, Carole & Ting Lau, Sie & McInish, Thomas, 2007. "Opening and closing behavior following the introduction of call auctions in Singapore," Pacific-Basin Finance Journal, Elsevier, vol. 15(1), pages 18-35, January.
    15. Marija Corluka & Edwin O. Fischer, 2012. "Forensic Finance: Market Abuse and Price Manipulation in Security Markets on the Trail," Working Paper Series, Social and Economic Sciences 2012-04, Faculty of Social and Economic Sciences, Karl-Franzens-University Graz.
    16. Cumming, D. & Johan, S.A., 2008. "Global market surveillance," Discussion Paper 2008-002, Tilburg University, Tilburg Law and Economic Center.

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