Measuring closing price manipulation

Carole Comerton-forde, Tālis Putniņš

Research output: Contribution to journalArticlepeer-review

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.
Original languageEnglish
Pages (from-to)135-158
JournalJournal of Financial Intermediation
Volume20
Issue number2
DOIs
Publication statusPublished - 12 Mar 2010

Keywords

  • manipulation
  • closing price
  • high closing
  • index

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