Stock market manipulation in an emerging market of Turkey: how do market participants select stocks for manipulation?

Ergun H. O., YALAMAN A., Manahov V., Zhang H.

APPLIED ECONOMICS LETTERS, vol.28, no.5, pp.354-358, 2021 (SSCI) identifier identifier

  • Publication Type: Article / Article
  • Volume: 28 Issue: 5
  • Publication Date: 2021
  • Doi Number: 10.1080/13504851.2020.1753874
  • Journal Name: APPLIED ECONOMICS LETTERS
  • Journal Indexes: Social Sciences Citation Index (SSCI), Scopus, IBZ Online, International Bibliography of Social Sciences, ABI/INFORM, Business Source Elite, Business Source Premier, CAB Abstracts, EconLit, Geobase, Public Affairs Index, Veterinary Science Database, DIALNET
  • Page Numbers: pp.354-358
  • Keywords: emerging markets, market efficiency, Stock price manipulation, Turkey
  • Eskisehir Osmangazi University Affiliated: Yes

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 post-manipulation period, leading to a deterioration of market quality.