Measuring closing price manipulation

Carole Comerton-forde, Tālis Putniņš

Research output: Contribution to journalArticlepeer-review


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.
Original languageEnglish
Pages (from-to)135-158
JournalJournal of Financial Intermediation
Issue number2
Publication statusPublished - 12 Mar 2010


  • manipulation
  • closing price
  • high closing
  • index


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