haku: @author Felixson, K. / yhteensä: 2
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| Tekijä: | Felixson, K. Pelli, A. |
| Otsikko: | Day end returns - stock price manipulation |
| Lehti: | Journal of Multinational Financial Management
1999 : MAR, VOL. 9:2, p. 95-127 |
| Asiasana: | Stock markets Prices Finland |
| Kieli: | eng |
| Tiivistelmä: | In this paper, it is examined if closing prices are manipulated. Earlier research has shown that closing prices are one of the most used benchmarks against which trader performance is evaluated. If a trader takes a big net position a given day, it is likely that he wants to enhance his performance by manipulating the closing price. In the paper, a simple regression model is built to test for closing price manipulation in the Finnish stock market. Robustness checks were made for the effect of: (a) size of the net position, (b) differences in returns across firms, (c) different size of net position for different firms, block trades and spread trades. The results before close, for the base case, were in line with the hypothesis of this paper. However, the robustness checks showed that block trades and spread trades explained a part, but not all, of the results. The results after close were generally weak, but tilted towards the hypothesis of this paper. |
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