Review of Finance Vol. 18 No. 1 2014
Stock Price Manipulation: Prevalence and Determinants
open access
Abstract
We empirically analyze the prevalence and economic underpinnings of closing price manipulation and its detection. We estimate that ∼1% of closing prices are manipulated, of which only a small fraction is detected and prosecuted. 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/quarter-end days. Manipulation on these days is more likely in stocks with high levels of institutional ownership. Government regulatory budget has a strong effect on both manipulation and detection.
- DOI
- 10.1093/rof/rfs040
- Volume
- 18
- Issue
- 1
- Pages
- 23-66
- Language
- en
- Sources
- bibtex:phds-export.bib openalex crossref