Stock price manipulation: Prevalence and determinants

Publisher:
Oxford University Press
Publication Type:
Journal Article
Citation:
Review of Finance, 2014, 18 (1), pp. 23 - 66
Issue Date:
2014-01
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We empirically analyze the prevalence and economic underpinnings of closing price manipulation and its detection. We estimate that ~1% of closing prices are manipulated, of which only a small fraction is detected and prosecuted. We find that stocks with high levels of information asymmetry and mid to low levels of liquidity are most likely to be manipulated. A significant proportion of manipulation occurs on month/quarter-end days. Manipulation on these days is more likely in stocks with high levels of institutional ownership. Government regulatory budget has a strong effect on both manipulation and detection.
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