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Pricing accuracy, liquidity and trader behavior with closing price manipulation

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  • Carole Comerton-Forde
  • Tālis Putniņš

Abstract

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Suggested Citation

  • Carole Comerton-Forde & Tālis Putniņš, 2011. "Pricing accuracy, liquidity and trader behavior with closing price manipulation," Experimental Economics, Springer;Economic Science Association, vol. 14(1), pages 110-131, March.
    • Handle: RePEc:kap:expeco:v:14:y:2011:i:1:p:110-131
    DOI: 10.1007/s10683-010-9259-z
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    References listed on IDEAS

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    1. Colin F. Camerer, 1998. "Can Asset Markets Be Manipulated? A Field Experiment with Racetrack Betting," Journal of Political Economy, University of Chicago Press, vol. 106(3), pages 457-482, June.
    2. Plott, Charles R & Sunder, Shyam, 1988. "Rational Expectations and the Aggregation of Diverse Information in Laboratory Security Markets," Econometrica, Econometric Society, vol. 56(5), pages 1085-1118, September.
    3. Gary S. Becker, 1974. "Crime and Punishment: An Economic Approach," NBER Chapters, in: Essays in the Economics of Crime and Punishment, pages 1-54, National Bureau of Economic Research, Inc.
    4. Kumar, Praveen & Seppi, Duane J, 1992. "Futures Manipulation with "Cash Settlement."," Journal of Finance, American Finance Association, vol. 47(4), pages 1485-1502, September.
    5. Xiaoyan Ni, Sophie & Pearson, Neil D. & Poteshman, Allen M., 2005. "Stock price clustering on option expiration dates," Journal of Financial Economics, Elsevier, vol. 78(1), pages 49-87, October.
    6. Hillion, Pierre & Suominen, Matti, 2004. "The manipulation of closing prices," Journal of Financial Markets, Elsevier, vol. 7(4), pages 351-375, October.
    7. Forsythe, Robert & Lundholm, Russell, 1990. "Information Aggregation in an Experimental Market," Econometrica, Econometric Society, vol. 58(2), pages 309-347, March.
    8. Bloomfield, Robert & O'Hara, Maureen, 1999. "Market Transparency: Who Wins and Who Loses?," The Review of Financial Studies, Society for Financial Studies, vol. 12(1), pages 5-35.
    9. Comerton-Forde, Carole & Putnins, Talis J., 2011. "Measuring closing price manipulation," Journal of Financial Intermediation, Elsevier, vol. 20(2), pages 135-158, April.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Alfred Ma, 2022. "Profitability of technical trading strategies under market manipulation," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-9, December.
    2. Tālis J. Putniņš, 2012. "Market Manipulation: A Survey," Journal of Economic Surveys, Wiley Blackwell, vol. 26(5), pages 952-967, December.
    3. Anirudh Dhawan & Tālis J Putniņš, 2023. "A New Wolf in Town? Pump-and-Dump Manipulation in Cryptocurrency Markets," Review of Finance, European Finance Association, vol. 27(3), pages 935-975.
    4. Rasim Ozcan, 2012. "An Analysis of Manipulation Strategies in Stock Markets," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, vol. 13(49), pages 19-37.
    5. Carole Comerton-Forde & Tālis J. Putniņš, 2014. "Stock Price Manipulation: Prevalence and Determinants," Review of Finance, European Finance Association, vol. 18(1), pages 23-66.
    6. Te Bao & Elizaveta Nekrasova & Tibor Neugebauer & Yohanes E. Riyanto, 2022. "Algorithmic trading in experimental markets with human traders: A literature survey," Chapters, in: Sascha Füllbrunn & Ernan Haruvy (ed.), Handbook of Experimental Finance, chapter 23, pages 302-322, Edward Elgar Publishing.
    7. repec:grz:wpsses:2014-01 is not listed on IDEAS

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    More about this item

    Keywords

    Manipulation; Closing price; High-closing; Experimental market; G14; C90;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • C90 - Mathematical and Quantitative Methods - - Design of Experiments - - - General

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