Measuring closing price manipulation

Publication Type:
Journal article
Citation:
Journal of Financial Intermediation, 2011, 20 (2), pp. 135 - 158
Issue Date:
2011-04
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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. © 2010 Elsevier Inc.
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