IDEAS home Printed from https://ideas.repec.org/a/rfb/journl/v06y2014i2p047-067.html
   My bibliography  Save this article

Forensic Finance: Market Abuse and Price Manipulation in Security Markets on the Trail

Author

Listed:
  • Marija Corluka
  • Edwin O. Fischer

Abstract

On 19th March 2009, national newspapers in Austria reported on a “turbo scandal” that had been suspected on the Vienna Stock Exchange. Concerned investors argued that the issuers of turbo certificates tried to raid the underlying prices of these down-and-out call options by pushing down the prices of the underlings below the barriers of the derivatives. The goal of this research is to find out which variables are crucial for the research, which stocks were manipulated and who their manipulators were. According to our empirical results, we define suspicious issuers for each stock and classify them as being highly, moderately, less suspicious or rather unsuspicious issuers.

Suggested Citation

  • Marija Corluka & Edwin O. Fischer, 2014. "Forensic Finance: Market Abuse and Price Manipulation in Security Markets on the Trail," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 6(2), pages 047-067, December.
  • Handle: RePEc:rfb:journl:v:06:y:2014:i:2:p:047-067
    as

    Download full text from publisher

    File URL: http://www.rfb.ase.ro/articole/articol_I_nr6v2.pdf
    File Function: Full text
    Download Restriction: no

    Other versions of this item:

    References listed on IDEAS

    as
    1. Hillion, Pierre & Suominen, Matti, 2004. "The manipulation of closing prices," Journal of Financial Markets, Elsevier, vol. 7(4), pages 351-375, October.
    2. Kumar, Praveen & Seppi, Duane J, 1992. " Futures Manipulation with "Cash Settlement."," Journal of Finance, American Finance Association, vol. 47(4), pages 1485-1502, September.
    3. Rossetto, Silvia & Bommel, Jos van, 2009. "Endless leverage certificates," Journal of Banking & Finance, Elsevier, vol. 33(8), pages 1543-1553, August.
    4. Allen, Franklin & Gale, Douglas, 1992. "Stock-Price Manipulation," Review of Financial Studies, Society for Financial Studies, vol. 5(3), pages 503-529.
    5. Comerton-Forde, Carole & Putnins, Talis J., 2011. "Measuring closing price manipulation," Journal of Financial Intermediation, Elsevier, vol. 20(2), pages 135-158, April.
    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. Robert A. Jarrow, 2008. "Derivative Security Markets, Market Manipulation, and Option Pricing Theory," World Scientific Book Chapters,in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 7, pages 131-151 World Scientific Publishing Co. Pte. Ltd..
    8. Xiaoyan Ni, Sophie & Pearson, Neil D. & Poteshman, Allen M., 2005. "Stock price clustering on option expiration dates," Journal of Financial Economics, Elsevier, vol. 78(1), pages 49-87, October.
    9. Oliver D. Hart, 1977. "On The Profitability of Speculation," The Quarterly Journal of Economics, Oxford University Press, vol. 91(4), pages 579-597.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:rfb:journl:v:06:y:2014:i:2:p:047-067. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Tatu Lucian). General contact details of provider: http://edirc.repec.org/data/ffasero.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.