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Measuring closing price manipulation

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Listed author(s):
  • Comerton-Forde, Carole
  • Putnins, Talis J.

Abstract

We quantify the effects of closing price manipulation on trading characteristics and stock price accuracy using a unique sample of prosecuted manipulation cases. Based on these findings we construct an index of the probability and intensity of closing price manipulation. As well as having regulatory applications, this index can be used to study manipulation in the large number of markets and time periods in which prosecution data are not readily available.

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File URL: http://www.sciencedirect.com/science/article/pii/S1042-9573(10)00015-X
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Article provided by Elsevier in its journal Journal of Financial Intermediation.

Volume (Year): 20 (2011)
Issue (Month): 2 (April)
Pages: 135-158

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Handle: RePEc:eee:jfinin:v:20:y:2011:i:2:p:135-158
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/622875

Keywords: Manipulation Closing price High-closing Index;

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