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

  • Marija Corluka


    (Department of Finance, Karl-Franzens-University Graz)

  • Edwin O. Fischer


    (Department of Finance, Karl-Franzens-University Graz)

On 19th March 2009, several national newspapers in Austria reported on a “turbo scandal” that had been suspected on the Vienna Stock Exchange for several years. Concerned investors argued that the issuers of turbo certificates tried to raid the underlying prices of these down-and-out call options by selling underlyings with prices under the barriers, resulting in valueless turbos. 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.

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Paper provided by Faculty of Social and Economic Sciences, Karl-Franzens-University Graz in its series Working Paper Series, Social and Economic Sciences with number 2012-04.

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Length: 34 pages
Date of creation: 18 Dec 2012
Date of revision:
Publication status: Published as Corluka, M., Fischer, E. O., “Forensic Finance: Market Abuse and Price Manipulation in Security Markets on the Trail”, 2014, Review of Finance and Banking 6(2)
Handle: RePEc:grz:wpsses:2012-04
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  1. 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.
  2. Hillion, Pierre & Suominen, Matti, 2004. "The manipulation of closing prices," Journal of Financial Markets, Elsevier, vol. 7(4), pages 351-375, October.
  3. Comerton-Forde, Carole & Putnins, Talis J., 2011. "Measuring closing price manipulation," Journal of Financial Intermediation, Elsevier, vol. 20(2), pages 135-158, April.
  4. Rossetto, Silvia & Bommel, Jos van, 2009. "Endless leverage certificates," Journal of Banking & Finance, Elsevier, vol. 33(8), pages 1543-1553, August.
  5. Kumar, Praveen & Seppi, Duane J, 1992. " Futures Manipulation with "Cash Settlement."," Journal of Finance, American Finance Association, vol. 47(4), pages 1485-502, September.
  6. Allen, Franklin & Gale, Douglas, 1992. "Stock-Price Manipulation," Review of Financial Studies, Society for Financial Studies, vol. 5(3), pages 503-29.
  7. 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.
  8. Jarrow, Robert A., 1994. "Derivative Security Markets, Market Manipulation, and Option Pricing Theory," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 29(02), pages 241-261, June.
  9. Hart, Oliver D, 1977. "On the Profitability of Speculation," The Quarterly Journal of Economics, MIT Press, vol. 91(4), pages 579-97, November.
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