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Order-based manipulation: evidence from Hong Kong stock market

Author

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  • Chun-Hin Chan
  • Alfred Ka Chun Ma

Abstract

Purpose - – The paper aims to investigate order-based manipulation that consists of order-placing strategies. Design/methodology/approach - – Using the bid and ask record provided by Hong Kong Exchanges and Clearing Limited, a Level II dataset, the paper develops a methodology to obtain cancelled orders during regular trading hours. The paper examines the cancelled orders and potential order-based manipulation activities, as well as the corresponding behavior of different groups of stocks. Findings - – Empirical results show that the relationship between order cancellation and order-based manipulation is strong and deserves more attention. Originality/value - – The methodology can also be used by regulators and authorities to monitor suspicious activities in the market. This paper also suggests that analysis on high-frequency data does improve the understanding of trading activities in the stock market.

Suggested Citation

  • Chun-Hin Chan & Alfred Ka Chun Ma, 2014. "Order-based manipulation: evidence from Hong Kong stock market," Journal of Financial Crime, Emerald Group Publishing Limited, vol. 21(1), pages 111-118, January.
    • Handle: RePEc:eme:jfcpps:jfc-02-2013-0008
    DOI: 10.1108/JFC-02-2013-0008
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    Keywords

    Limit order book; Order-based manipulation;

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