48 Pages Posted: 23 Aug 2007 Last revised: 28 Apr 2010
Date Written: November 26, 2009
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.
Keywords: manipulation, closing price, high-closing, index
JEL Classification: G14
Suggested Citation: Suggested Citation
Comerton-Forde, Carole and Putniņš, Tālis J., Measuring Closing Price Manipulation (November 26, 2009). Journal of Financial Intermediation, Forthcoming. Available at SSRN: https://ssrn.com/abstract=1009001 or http://dx.doi.org/10.2139/ssrn.1009001