{"title":"Measuring Closing Price Manipulation","authors":"Carole Comerton-Forde, Tālis J. Putniņš","doi":"10.2139/ssrn.1009001","DOIUrl":null,"url":null,"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.","PeriodicalId":8509,"journal":{"name":"arXiv: Trading and Market Microstructure","volume":"78 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2009-11-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"142","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"arXiv: Trading and Market Microstructure","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.1009001","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 142
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.
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