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Stock market manipulation in an emerging market of Turkey: how do market participants select stocks for manipulation?

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  • Hilal Ok Ergün
  • Abdullah Yalaman
  • Viktor Manahov
  • Hanxiong Zhang

Abstract

We obtained a unique dataset that covers all trade-based manipulation events identified by the Capital Market Board (CMB) for the period between 2005 and 2013 in order to investigate stock market manipulation and its implications on market quality. Moreover, we examine how manipulators decide which stocks to select for manipulation in an emerging market. We observe that the manipulators select illiquid, underperforming, and less volatile stocks to manipulate in an emerging market. We also demonstrate that stock liquidity, return, and volatility increase throughout the manipulation period and decrease in the post-manipulation period, leading to a deterioration of market quality.

Suggested Citation

  • Hilal Ok Ergün & Abdullah Yalaman & Viktor Manahov & Hanxiong Zhang, 2021. "Stock market manipulation in an emerging market of Turkey: how do market participants select stocks for manipulation?," Applied Economics Letters, Taylor & Francis Journals, vol. 28(5), pages 354-358, March.
    • Handle: RePEc:taf:apeclt:v:28:y:2021:i:5:p:354-358
    DOI: 10.1080/13504851.2020.1753874
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    References listed on IDEAS

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    Cited by:

    1. Innocent Shau & William Gomera, 2022. "Effects of the information gap in the stock market: A case of Dar Es salaam Stock Exchange," International Journal of Research in Business and Social Science (2147-4478), Center for the Strategic Studies in Business and Finance, vol. 11(9), pages 174-183, December.

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