Ergün, H.O., Yalaman, A., Manahov, V. et al. (1 more author) (2021) Stock market manipulation in an emerging market of Turkey: How do market participants select stocks for manipulation? Applied Economics Letters, 28 (5). pp. 354-358. ISSN 1350-4851
Abstract
We obtained a unique dataset that covers all trade-based manipulation events identified by the Capital Market Board (CMB) for the period between 2005 and 2013 in order to investigate stock market manipulation and its implications on market quality. Moreover, we examine how manipulators decide which stocks to select for manipulation in an emerging market. We observe that the manipulators select illiquid, underperforming, and less volatile stocks to manipulate in an emerging market. We also demonstrate that stock liquidity, return, and volatility increase throughout the manipulation period and decrease in the postmanipulation period, leading to a deterioration of market quality.
Metadata
Item Type: | Article |
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Authors/Creators: |
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Copyright, Publisher and Additional Information: | © 2020 Informa UK Limited, trading as Taylor & Francis Group. This is an author-produced version of a paper subsequently published in Applied Economics Letters. Uploaded in accordance with the publisher's self-archiving policy. |
Keywords: | Stock Price Manipulation; Market Efficiency; Emerging Markets; Turkey |
Dates: |
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Institution: | The University of Sheffield |
Academic Units: | The University of Sheffield > Faculty of Social Sciences (Sheffield) > Management School (Sheffield) |
Depositing User: | Symplectic Sheffield |
Date Deposited: | 06 Apr 2020 12:21 |
Last Modified: | 26 Nov 2021 14:20 |
Status: | Published |
Publisher: | Taylor & Francis (Routledge) |
Refereed: | Yes |
Identification Number: | 10.1080/13504851.2020.1753874 |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:159189 |