TY - JOUR

T1 - Stock market manipulation in an emerging market of Turkey: How do market participants select stocks for manipulation?

AU - Viktor Manahov

AU - Hilal Ok Ergün

AU - Abdullah Yalaman

AU - Zhang, Hanxiong

PY - 2021/3/21

Y1 - 2021/3/21

N2 - 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.

AB - 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.

U2 - 10.1080/13504851.2020.1753874

DO - 10.1080/13504851.2020.1753874

M3 - Article

JO - Applied Economics Letters

JF - Applied Economics Letters

SN - 1350-4851

ER -