Measuring Closing Price Manipulation

Academic Press Inc Elsevier Science
Publication Type:
Journal Article
Journal of Financial Intermediation, 2011, 20 (2), pp. 135 - 158
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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.
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