Measuring closing price manipulation

Comerton-Forde, C; Putniņš, TJ

Measuring closing price manipulation

Comerton-Forde, C Putniņš, TJ

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Publication Type:: Journal Article
Citation:: Journal of Financial Intermediation, 2011, 20 (2), pp. 135 - 158
Issue Date:: 2011-04-01

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Field	Value	Language
dc.contributor.author	Comerton-Forde, C	en_US
dc.contributor.author	Putniņš, TJ https://orcid.org/0000-0001-5731-499X	en_US
dc.date.issued	2011-04-01	en_US
dc.identifier.citation	Journal of Financial Intermediation, 2011, 20 (2), pp. 135 - 158	en_US
dc.identifier.issn	1042-9573	en_US
dc.identifier.uri	http://hdl.handle.net/10453/122410
dc.description.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. © 2010 Elsevier Inc.	en_US
dc.relation.ispartof	Journal of Financial Intermediation	en_US
dc.relation.isbasedon	10.1016/j.jfi.2010.03.003	en_US
dc.subject.classification	Finance	en_US
dc.title	Measuring closing price manipulation	en_US
dc.type	Journal Article
utslib.citation.volume	2	en_US
utslib.citation.volume	20	en_US
utslib.for	1502 Banking, Finance and Investment	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
pubs.organisational-group	/University of Technology Sydney/Faculty of Business/Finance Discipline
utslib.copyright.status	closed_access
pubs.declined	1970-01-01T00:00:00.0+1000
pubs.issue	2	en_US
pubs.publication-status	Published	en_US
pubs.volume	20	en_US

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. © 2010 Elsevier Inc.

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10453/31358