The determinants and frequency of closing price manipulation and its detection
We empirically analyze how closing price manipulation and its detection are influenced by various market-, stock- and time-specific factors using methodology that overcomes biases caused by incomplete detection. We find that stocks with high levels of information asymmetry and mid to low levels of liquidity are most likely to be manipulated. A significant proportion of manipulation occurs on month-end and quarterend days. We estimate that a 1％ increase in regulatory budgets would result in a 1.2％ increase in detection and a 2.1％ decrease in the amount of manipulation. We estimate that between 1.8％ and 3.6％ of closing prices are manipulated suggesting that for each prosecuted instance of closing price manipulation there are between five and 5,000 instances that remain undetected or not prosecuted depending on the exchange. We also observe differences in detection rate across the US and Canadian markets.
manipulation closing price high-closing detection controlled estimation
国际会议
大连
英文
1-48
2008-07-02（万方平台首次上网日期，不代表论文的发表时间）