Measuring closing price manipulation

被引：71

作者：

Comerton-Forde, Carole ^{[2
]}

Putnins, Talis J. ^{[1
]}

机构：

[1] Stockholm Sch Econ, LV-1010 Riga, Latvia

[2] Univ Sydney, Fac Econ & Business, Sydney, NSW 2006, Australia

来源：

JOURNAL OF FINANCIAL INTERMEDIATION | 2011年 / 20卷 / 02期

基金：

澳大利亚研究理事会;

关键词：

Manipulation; Closing price; High-closing; Index; STOCK POOLS; ROC CURVE; MARKET; BEHAVIOR; PREDICTION; AUCTION; MODELS; NYSE; TAPE;

D O I：

10.1016/j.jfi.2010.03.003

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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. (C) 2010 Elsevier Inc. All rights reserved.

引用

页码：135 / 158

页数：24

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