Determinimg manipulation effect on market efficiency in Tehran stock exchange
Quarterly Journal of Securities Exchange

Quarterly Journal of Securities Exchange

Determinimg manipulation effect on market efficiency in Tehran stock exchange

Document Type : Original Article

Authors
reihaneh rabiee
mohammad nadiri
moslem peymani
ali jaberi zadeh
alborz campus of the tehran university student
10.22034/jse.2018.11137
Abstract
This study is empirically examining effect of spoofing order-entering manipulation on the efficiency of Tehran stock exchange. For this reason a sample set with 288 listed stocks in Tehran stock exchange, which include 144 cases of market manipulation for 3-month period from January 2015 to march 2015, that creates 14,516 observations is selected. By collecting needed data in order to detect the effect of manipulation and volatility on bid, ask spread and volume as market efficiency criteria. For model analysis, Panel data regression is used. Results showed that bid ask spread and proportional bid ask spread increase before manipulation and decrease after that. Stocks with high volume are prone to market manipulation. This means that Tehran stock exchange is capable of efficiently responding to the presence of manipulators and promote efficiency measures. Presence of information seeking investors who are trading by following manipulators with insider information is effective in providing this situation.
Keywords
market manipulation
information asymmetry
market efficiency
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Quarterly Journal of Securities Exchange
Volume 11, Issue 43
Winter 2019
Pages 113-131