Costless Closing Price Manipulation in the Hong Kong Exchange

2012 ◽  
Author(s):  
Sean Donahugh Vanderfield Foley ◽  
Jane Chau
Keyword(s):  
Hong Kong ◽  
Price Manipulation ◽  
Closing Price

Measuring closing price manipulation

2011 ◽  
Vol 20 (2) ◽  
pp. 135-158 ◽  
Author(s):  
Carole Comerton-Forde ◽  
Tālis J. Putniņš
Keyword(s):  
Price Manipulation ◽  
Closing Price

scholarly journals Pricing accuracy, liquidity and trader behavior with closing price manipulation

2010 ◽  
Vol 14 (1) ◽  
pp. 110-131 ◽  
Author(s):  
Carole Comerton-Forde ◽  
Tālis J. Putniņš
Keyword(s):  
Price Manipulation ◽  
Closing Price

The impact of closing mechanism changes: evidence from the Shanghai stock market

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Dan Ma ◽  
Chunfeng Wang ◽  
Zhenming Fang ◽  
Ziwei Wang
Keyword(s):  
Stock Market ◽  
Market Quality ◽  
Market Manipulation ◽  
Trading Behavior ◽  
Content Type ◽  
Price Manipulation ◽  
Closing Price ◽  
Investor Trading ◽  
The Impact ◽  
Closing Mechanism

PurposeThe purpose of this paper is to empirically examine the impact of closing mechanism changes on market quality, investor trading behavior and market manipulation in the Shanghai stock market.Design/methodology/approachA dummy variable is constructed indicating whether the closing mechanism is call auction or continuous auction. Market quality is measured from aspects of liquidity, volatility and price continuity; investor trading behavior is scaled by order timing and order aggressiveness, and a price deviation indicator is the proxy of manipulation. Using panel regression, this study examines the impact of closing mechanism changes based on intraday transaction data from the Shanghai stock market.FindingsThe conclusions are as follows: First, market quality improves after the closing mechanism is reformed in terms of liquidity, volatility and price continuity. Second, order strategy changes significantly in the closing call market, and investors trade more aggressively in the continuous trading period before closing. Third, the closing call mechanism restrains the closing price manipulation and thus prompts an efficient closing price.Originality/valueThis paper examines the policy effects of closing mechanism changes from aspects of market quality, trading behavior and price manipulation, providing pieces of evidence for trading mechanism design and market supervision in emerging markets.

scholarly journals Profitability of technical trading strategies under market manipulation

2022 ◽  
Vol 8 (1) ◽  
Author(s):  
Alfred Ma
Keyword(s):  
Hong Kong ◽  
Trading Strategies ◽  
Market Manipulation ◽  
Technical Trading ◽  
Data Set ◽  
Closing Price ◽  
The Difference

AbstractMost technical trading strategies use the official closing price for analysis. But what is the effect when the official closing price is subject to market manipulation? This paper answers this question by testing the difference of profitabilities between using the official closing price and the last tick price. The results show a significant improvement of profitability by using the last tick price over the official closing price based on a data set in Hong Kong from 2011 to 2018.

Measuring Closing Price Manipulation

2009 ◽  
Author(s):  
Carole Comerton-Forde ◽  
Talis J. Putnins
Keyword(s):  
Price Manipulation ◽  
Closing Price
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