The manipulation of closing prices
نویسندگان
چکیده
Before the introduction of a call auction at the close, the last minute of trading at the Paris Bourse was the most active of the whole day. Even though the bid–ask spread increased substantially, the probability of large and aggressive orders increased, as did price volatility. In addition, both the one-minute returns and the proportion of partially hidden orders increased. In this paper, we develop an agency-based model of closing price manipulation, which can account for these phenomena. In addition, we discuss the optimal closing price mechanism under manipulation. r 2004 Elsevier B.V. All rights reserved. JEL classification: G10; G24
منابع مشابه
Investigating Some of Effective Factors on Spoofing Manipulation in Iranian Stock Market
Objective: There is a large theoretical literature regarding stock market manipulation. However, empirical evidence of manipulation remains scare especially in emerging markets like Iran. So, it is vital to detect and prevent. Manipulation distorts prices, thereby reducing market efficiency and harms public confidence. Distorted prices increase market volatility and risk. This study empirically...
متن کاملTesting the weak form of efficient market hypothesis in carbon efficient stock indices along with their benchmark indices in select countries
This paper presents the results of tests on the weak form of Efficient Market Hypothesis applied to carbon efficient stock market indices of India, the United States of America (USA), Japan, and Brazil and their corresponding market indices which are used as their benchmark indices. In this study, Kolmogrov-Smirnov and Shapiro-Wilk tests are used to test the normality of data. Run test and auto...
متن کاملAssessing the Exchange Rate Fluctuation on Tehrans Stock Market Price: A GARCH Application
This paper empirically investigates the exchange rate effects of Iranian Rial against Dollar (Rial vs.US) on stock prices in Iran. The sample period for the study has been taken from March 20, 2004 to March 20, 2010 using daily nominal exchange rate of Rial /us and daily closing values of Tehran Stock Exchange. Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model has been use...
متن کاملEstimating correlation from high, low, opening and closing prices
In earlier studies, the estimation of the volatility of a stock using information on the daily opening, closing, high and low prices has been developed; the additional information in the high and low prices can be incorporated to produce unbiased (or near-unbiased) estimators with substantially lower variance than the simple open-close estimator. This paper tackles the more difficult task of es...
متن کاملExploring Decision Makers' Use of Price Information in a Speculative Market
We explore the extent to which the decisions of participants in a speculative market effectively account for information contained in prices and price movements. The horserace betting market is chosen as an ideal environment to explore these issues. A conditional logit model is constructed to determine winning probabilities based on bookmakers’ closing prices and the time indexed movement of pr...
متن کامل