Measuring Closing Price Manipulation
University of Melbourne - Department of Finance; Financial Research Network (FIRN)
Tālis J. Putniņš
University of Technology, Sydney - UTS Business School; Stockholm School of Economics in Riga; Financial Research Network (FIRN)
November 26, 2009
Journal of Financial Intermediation, Forthcoming
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.
Number of Pages in PDF File: 48
Keywords: manipulation, closing price, high-closing, index
JEL Classification: G14working papers series
Date posted: August 23, 2007 ; Last revised: April 28, 2010
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