Market abuse under different close price determination mechanisms: A European case

Abstract We examine the presence and severity of closing price manipulation across two regulatory shifts in close determination mechanism Athens stock exchange. First, we assess transition from a value-weighted average (VWAP) method to plain-vanilla call auction (CCAM). Second, effectiveness additional features CCAMs deterring manipulation. use tick level data with full investor details for group highly traded stocks. Our results suggest that CCAM managed reduce - but not eliminate anti-manipulation are effective eliminating either. Manipulation is dynamic investors quickly adapt new circumstances opportunities; post-CCAM implementation sell-based has increased, while part activity shifted reference formation.