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High Frequency Manipulation at Futures Expiry: The Case of Cash Settled Indian Single Stock Futures

Sobhesh Kumar Agarwalla, Joshy Jacob, Jayanth Rama Varma
2014 Social Science Research Network  
In 2013, the Securities and Exchange Board of India identified a case of alleged manipulation (in September 2012) of the settlement price of cash settled single stock futures based on high frequency circular  ...  Futures markets are known to be vulnerable to manipulation, and despite the presence of a variety of mechanisms to prevent such manipulation, instances of market manipulation have been found in some of  ...  In an illiquid stock, this might be inadequate to stop a manipulator using circular trading on a large scale.  ... 
doi:10.2139/ssrn.2395159 fatcat:khytfgaxxzejrpggvtevajewdm

Celebrating Three Decades of Worldwide Stock Market Manipulation [article]

Bruce Knuteson
2019 arXiv   pre-print
Of the many recent stories heralding the dawn of the present golden age of misinformation, the manipulation leading to the remarkable increase in the market capitalization of the world's publicly traded  ...  Widespread (if misplaced) trust of market prices -- buttressed by overestimates of the cost of manipulation and underestimates of the benefits to certain market participants -- makes price manipulation  ...  HUMAN IMPACT Three decades of worldwide stock market manipulation is quite an accomplishment, but it is the wider human impact explained in Ref.  ... 
arXiv:1912.01708v1 fatcat:fc5nfpcvk5c6rlvj5zrq7otaqa

Security Market Manipulation

Chester Spatt
2014 Annual Review of Financial Economics  
I also examine the nature of market manipulation in different facets of the trading day and the transitions among these.  ...  This article uses a variety of contemporary developments to address artificial market pricing and market manipulation.  ...  Stock market manipulations. J. Bus. 79:1915-53 Agnew H. 2013. Stan Druckenmiller: 'Do I have a competitive advantage left?'  ... 
doi:10.1146/annurev-financial-110613-034232 fatcat:rcti4ndjfvfovlypbjj46beany

The Impact of Stock Market Structure on Volatility: Evidence from a Call Auction Suspension

Silvio John Camilleri
2015 International Journal of Financial Research  
The realised volatility on NSE is compared with that of the Bombay Stock Exchange using two volatility proxies: modulus of log returns and scaled intra-day price difference.  ...  The purpose of this paper is to investigate the volatility impacts of the suspension of a call auction system by the National Stock Exchange of India (NSE) in June 1999, thus extending prior empirical  ...  In order to minimise the possibility that traders misguide the markets through manipulative orders, the auction may include features such as a random market opening time or the requirement that orders  ... 
doi:10.5430/ijfr.v6n2p44 fatcat:fw7y7ruxbjdldc6746uaccez34

The efficient market approximation

P. Blakey
2006 IEEE Microwave Magazine  
Institutional traders who want to buy or sell large amounts of stock experience much less liquidity, and all market participants face problems with liquidity when trying to buy or sell stock in thinly  ...  Market participants whose trades impact the balance between supply and demand can manipulate markets in ways that are perfectly legal.  ... 
doi:10.1109/mmw.2006.1614226 fatcat:u6tasd3oxvgivg7cgr6m4gyj3a

The Analysis on Stock Price Synchronicity in China

YILIN YE
2017 DEStech Transactions on Social Science Education and Human Science  
The synchronicity of stock price movement between the firm-specific stock and the market is measured by R2 in the market model.  ...  We propose that the system risks coming from the specific political policies and surrounding in China, the unsound property right, the market opening level, the scale of the financial market and the corporation  ...  political policies and surrounding in China, the unsound property right, the market opening level, the scale of the financial market and the corporation itself in China, may be importantly attributed  ... 
doi:10.12783/dtssehs/msie2017/15419 fatcat:vxjlbugofjcivdwl33swskqz34

The 500.00 AAPL close: Manipulation or hedging? A quantitative analysis [article]

Yavni Bar-Yam, Marcus A.M. de Aguiar, Yaneer Bar-Yam
2014 arXiv   pre-print
There is a ready explanation for this price movement: market manipulation by those who sold stock options, who stood to directly benefit from this closing price.  ...  The explanation that market manipulation is responsible for the final close cannot be dismissed based upon unsubstantiated, even invalid, hedging claims.  ...  Large amounts of data can be made available for scrutiny for evidence of manipulation. Today, the stock holdings of large stock owners are made public.  ... 
arXiv:1402.0910v1 fatcat:m27mcxxwkne4hldcapvs3cknp4

Earnings management and audit adjustments: an empirical study of listed companies

Oriol Amat, Oscar Elvira
2010 Investment Management & Financial Innovations  
We intend to capture the frequency and magnitude of earnings manipulations and related audit adjustments in large and highly traded companies on the stock exchange in Spain; thus, we decided to focus on  ...  1 to 29.5% in Model 3).  ... 
doaj:081902812eca4279a86333dc43dada50 fatcat:erdhbvmfdrdjfi2j3oykaexi5y

Does Accrual Management Impair the Performance of Earnings-Based Valuation Models?

Lucie Courteau, Jennifer L. Kao, Yao Tian
2015 Journal of Business Finance & Accounting  
small, earnings manipulators.  ...  The overall conclusion that accrual management impairs RIM's performance extends to settings where the regression model is expanded to include accrual components and when we focus on large, rather than  ...  when we focus on large, rather than small, earnings manipulators.  ... 
doi:10.1111/jbfa.12101 fatcat:eltl2d6wgbhrjmnpgmnbjupsxy

Stock Price Manipulation Detection using Deep Unsupervised Learning: The Case of Thailand

Teema Leangarun, Poj Tangamchit, Suttipong Thajchayapong
2021 IEEE Access  
To generalize the models to any stock, these input features should be adjusted to be on the same scale.  ...  Moreover, the examination of characteristics and patterns of manipulated stocks and their effects on Taiwan stock markets indicated that many stocks were manipulated by large individual outsiders [16]  ... 
doi:10.1109/access.2021.3100359 fatcat:lmqrsr4fxbad7jjnmlpvdbbpfm

Earnings Management and Audit Adjustments: An Empirical Study of IBEX 35 Constituents

Oriol Amat
2008 Social Science Research Network  
We also examine how the audit adjustment relates to the observed market price, trading volume and stock returns.  ...  This empirical study supports the significant role of auditors in the financial market, in particular in the prevention of earnings management practice.  ...  We intend to capture the frequency and magnitude of earnings manipulations and related audit adjustments in large and highly traded companies on the stock exchange in Spain; thus, we decided to focus on  ... 
doi:10.2139/ssrn.1374232 fatcat:l3edllqbxzhbneqikmg463pdtq

Price Stabilization and Discovery Under a Random-End Trading Mechanism

Kyong Shik Eom, Jong-Ho Park
2014 Social Science Research Network  
The RE trading mechanism improved opening price discovery, but caused overreaction at the close.  ...  The RE trading mechanism improved opening price discovery, but caused overreaction at the close.  ...  Even if the sample size were sufficiently large, the RE trading mechanism would still not have much effect against manipulative attempts on a whole market scale since the manipulation would barely occur  ... 
doi:10.2139/ssrn.2532455 fatcat:pjudebpmnze5hmcbl75usibhzy

Pinning in the S&P 500 Futures

Jens Carsten Jackwerth, Benjamin Golez
2011 Social Science Research Network  
These effects are driven by the interplay of market makers' rebalancing of delta hedges due to the time decay of those hedges as well as in response to reselling (and early exercise) of in the money options  ...  The associated shift in notional futures value is at least $115 million per expiration day.  ...  with large option open interest can even be detected in the index itself.  ... 
doi:10.2139/ssrn.1664261 fatcat:bx7gpcmfkvbtxcqjxdkya6pi6i

Pinning in the S&P 500 futures

Benjamin Golez, Jens Carsten Jackwerth
2012 Journal of Financial Economics  
These effects are driven by the interplay of market makers' rebalancing of delta hedges due to the time decay of those hedges as well as in response to reselling (and early exercise) of in the money options  ...  The associated shift in notional futures value is at least $115 million per expiration day.  ...  with large option open interest can even be detected in the index itself.  ... 
doi:10.1016/j.jfineco.2012.06.010 fatcat:yvbmmpuipzcgdlcnv76td6j3su

Does the Capital Market Opening Improve the Price Discovery Efficiency of Stock Market? An Empirical Research Based on Shanghai-Hong Kong Stock Connect

Xueyan Yu, Yanbing Yu, Sang-Bing Tsai
2021 Mathematical Problems in Engineering  
Shanghai-Hong Kong Stock Connect (hereafter, SHKSC) is a milestone event in the opening up of China's capital market.  ...  Therefore, capital market opening improves capital market's price discovery efficiency in terms of response speed of stock price to information.  ...  From the variable of asset scale, leverage and return on assets, the opening stocks are better than nonopening stocks before and after opening, which further confirms the selection criteria of SHKSC: large  ... 
doi:10.1155/2021/5658597 fatcat:37wchh4apzgvlpe5gs5u6isocu
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