IDEAS home Printed from https://ideas.repec.org/a/mes/emfitr/v50y2014i2p73-98.html
   My bibliography  Save this article

The Manipulator's Poker: Order-Based Manipulation in the Chinese Stock Market

Author

Listed:
  • Dongmin Kong
  • Maobin Wang

Abstract

This paper investigates order-based manipulation and its effects on investor behavior and market efficiency. Using a unique data set from the Chinese stock market, we show that (1) order-based manipulation affects market liquidity and trading behavior, (2) the manipulator pretends to be informed or expects to be seen as informed by choosing a "right" time to implement the manipulation, and (3) the manipulation rapidly changes investor reaction to the market order/depth imbalance in the short run, and the effect gradually drops during the postmanipulation period. Our results are robust to alternative measures and offer clear implications for both theory and policy.

Suggested Citation

  • Dongmin Kong & Maobin Wang, 2014. "The Manipulator's Poker: Order-Based Manipulation in the Chinese Stock Market," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 50(2), pages 73-98, March.
    • Handle: RePEc:mes:emfitr:v:50:y:2014:i:2:p:73-98
    as

    Download full text from publisher

    File URL: http://mesharpe.metapress.com/link.asp?target=contribution&id=E21071X645713300
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Chaturvedula, Chakrapani & Bang, Nupur Pavan & Rastogi, Nikhil & Kumar, Satish, 2015. "Price manipulation, front running and bulk trades: Evidence from India," Emerging Markets Review, Elsevier, vol. 23(C), pages 26-45.
    2. Syed Qasim Shah & Izlin Ismail & Aidial Rizal bin Shahrin, 2020. "Heterogeneous investors and deterioration of market integrity: an analysis of market manipulation cases," Journal of Financial Crime, Emerald Group Publishing Limited, vol. 30(2), pages 389-403, May.
    3. Nurullah Celal Uslu & Fuat Akal, 2022. "A Machine Learning Approach to Detection of Trade-Based Manipulations in Borsa Istanbul," Computational Economics, Springer;Society for Computational Economics, vol. 60(1), pages 25-45, June.
    4. Wei, Lijian & Zhang, Wei & Xiong, Xiong & Shi, Lei, 2015. "Position limit for the CSI 300 stock index futures market," Economic Systems, Elsevier, vol. 39(3), pages 369-389.
    5. Xihan Xiong & Zhipeng Wang & Tianxiang Cui & William Knottenbelt & Michael Huth, 2023. "Market Misconduct in Decentralized Finance (DeFi): Analysis, Regulatory Challenges and Policy Implications," Papers 2311.17715, arXiv.org, revised Mar 2024.
    6. Serkan İmişiker & Rasim Özcan & Bedri Kamil Onur Taş, 2015. "Price Manipulation by Intermediaries," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 51(4), pages 788-797, July.
    7. Brzeszczyński, Janusz & Gajdka, Jerzy & Kutan, Ali M., 2015. "Investor response to public news, sentiment and institutional trading in emerging markets: A review," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 338-352.
    8. Kong, Gaowen & Xu, Li & Zhang, Wenzhe, 2022. "The benevolence of the billionaires: Evidence from China's Hurun rich list1," Finance Research Letters, Elsevier, vol. 48(C).
    9. Imisiker, Serkan & Tas, Bedri Kamil Onur, 2018. "Wash trades as a stock market manipulation tool," Journal of Behavioral and Experimental Finance, Elsevier, vol. 20(C), pages 92-98.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:mes:emfitr:v:50:y:2014:i:2:p:73-98. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/MREE20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.