Unchecked Manipulations, Price-Volume Relationship and Market Efficiency: Evidence from Emerging Markets

Research in International Business and Finance, Vol 30, 51-71, 2014

Posted: 7 Feb 2015

See all articles by A. S. M. Sohel Azad

A. S. M. Sohel Azad

Deakin University

Saad Azmat

Lahore University of Management Sciences (LUMS)

Victor Fang

Deakin University

Piyadasa Edirisuriya

Monash University; Financial Research Network (FIRN)

Date Written: 2014

Abstract

This paper investigates how unchecked manipulations could cause frequent trade-induced manipulations and weak-form market inefficiency in South Asian stock markets [Bombay Stock Exchange (BSE), Dhaka Stock Exchange (DSE) and Karachi Stock Exchange (KSE)]. Specifically, the paper analyses the price-volume relationship as one of the many cases of market inefficiency. By employing various econometric tests, this paper first provides conclusive evidence of market inefficiency in these markets. It then extracts evidence of manipulation periods from legal cases and analyses price-volume relationship during these periods. The paper finds that there exists market-wide trading-induced manipulations, where excessive buying and selling causes prices to inflate artificially before crashing down. The paper concludes that South-Asian markets are inefficient in the weak-form.

Keywords: Trade-induced manipulation; Price-volume relationship; Market efficiency; Emerging markets; South Asia

JEL Classification: G14; G15

Suggested Citation

Azad, A. S. M. Sohel and Azmat, Saad and Fang, Victor and Edirisuriya, Piyadasa, Unchecked Manipulations, Price-Volume Relationship and Market Efficiency: Evidence from Emerging Markets (2014). Research in International Business and Finance, Vol 30, 51-71, 2014, Available at SSRN: https://ssrn.com/abstract=2561071

A. S. M. Sohel Azad (Contact Author)

Deakin University ( email )

221 Burwood Highway
Burwood
Melbourne, Victoria 3125
Australia

Saad Azmat

Lahore University of Management Sciences (LUMS) ( email )

D.H.A, Lahore Cantt
Lahore, Punjab 54792
Pakistan

Victor Fang

Deakin University ( email )

School of Acc Economics Finance
Burwood Highway
Burwood, Victoria 3215
Australia
92446919 (Phone)

HOME PAGE: http://www.deakin.edu.au

Piyadasa Edirisuriya

Monash University ( email )

23 Innovation Walk
Wellington Road
Clayton, Victoria 3800
Australia

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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