Abstract

http://ssrn.com/abstract=1009001
 
 

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Measuring Closing Price Manipulation


Carole Comerton-Forde


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

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.

Number of Pages in PDF File: 48

Keywords: manipulation, closing price, high-closing, index

JEL Classification: G14

working papers series


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Date posted: August 23, 2007 ; Last revised: April 28, 2010

Suggested Citation

Comerton-Forde, Carole and Putniņš, Tālis J., Measuring Closing Price Manipulation (November 26, 2009). Journal of Financial Intermediation, Forthcoming. Available at SSRN: http://ssrn.com/abstract=1009001 or http://dx.doi.org/10.2139/ssrn.1009001

Contact Information

Carole Comerton-Forde
University of Melbourne - Department of Finance ( email )
198 Berkeley Street
Carlton VIC 3010
Australia
Financial Research Network (FIRN)
C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia
HOME PAGE: http://www.firn.org.au

Talis J. Putnins (Contact Author)
University of Technology, Sydney - UTS Business School ( email )
PO Box 123
Broadway
Sydney
Australia
+61 2 95144022 (Phone)
Stockholm School of Economics in Riga ( email )
Strelnieku Iela 4a
Riga, LV1010
Latvia
+371 67015841 (Phone)
Financial Research Network (FIRN)
C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia
HOME PAGE: http://www.firn.org.au

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