PREDICTING STOCK PRICE MANIPULATION IN CAPITAL MARKET

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KORDLOUIE HAMIDREZA; TEYMOURI FARSHAD

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

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Journal: FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT) Year:2015 | Volume:6 | Issue:23 Page(s): 79-104

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Title

PREDICTING STOCK PRICE MANIPULATION IN CAPITAL MARKET

Author(s)

KORDLOUIE HAMIDREZA | TEYMOURI FARSHAD | Issue Writer Certificate

Keywords

PRICE MANIPULATIONQ2

LIQUIDITYQ2

SIZE OF COMPANYQ2

FLOATING STOCKQ1

INFORMATION CLARITYQ2

Abstract

The current article aims at developing econometric and network structure-based methods capable of detecting PRICE MANIPULATION in Tehran Stock Exchange (TSE). Through the sample separation method, a sample population of 415 companies accepted in TSE were singled out. The data on these companies’ price and trade volume between 2001 and 2012 was gathered. Performing runs test, skewness test, and duration correlative test the companies were divided into the groups of Manipulated Companies (MC) and Non-manipulated Companies (NC). In order to pinpoint the PRICE MANIPULATION initiation date, the cumulative return process and trade volumes of the MCs were closely investigated. In this way, the Logistic Regression Model (logit), Artificial Neural Network (ANN), Multiple Discriminant Analysis (MDA), Support Vector Machine (SVM) and Gaussian Mixture Model (GMM) were carried out. Using company size, INFORMATION CLARITY, P/E ratio, stock LIQUIDITY in the year prior to the PRICE MANIPULATION, a predictive model of PRICE MANIPULATION of the TSE present companies was developed. Finally, the predictive power of the model was studied, using the data gathered from the sample companies. The predictive power of logit model for test set was 92.1%, for artificial neural network was 94.1%, and multiple discriminant analysis model was 90.2%; therefore, all of the 3 aforementioned models have a high power to forecast PRICE MANIPULATION and there is no considerable difference among forecasting power of these 3 models. It should be mentioned that the SVM has a margin of error in predicting and detecting PRICE MANIPULATION; in addition, GMM was incapable of detecting PRICE MANIPULATION in TSE and was hence decided as inappropriate for detecting MCs and NCs.

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APA: Copy

KORDLOUIE, HAMIDREZA, & TEYMOURI, FARSHAD. (2015). PREDICTING STOCK PRICE MANIPULATION IN CAPITAL MARKET. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 6(23), 79-104. SID. https://sid.ir/paper/197612/en

Vancouver: Copy

KORDLOUIE HAMIDREZA, TEYMOURI FARSHAD. PREDICTING STOCK PRICE MANIPULATION IN CAPITAL MARKET. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2015;6(23):79-104. Available from: https://sid.ir/paper/197612/en

IEEE: Copy

HAMIDREZA KORDLOUIE, and FARSHAD TEYMOURI, “PREDICTING STOCK PRICE MANIPULATION IN CAPITAL MARKET,” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 6, no. 23, pp. 79–104, 2015, [Online]. Available: https://sid.ir/paper/197612/en

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