FORECASTING STOCK PRICE MANIPULATION IN CAPITAL MARKET

Q: How can I download an article?

To download an article from SID, first log in to the site, search for the article title, and click on the 'Download Article' option.

Q: How can I download an ISI article?

To download an ISI article on SID, enter the keyword or article title in the search bar, view the relevant results, click on the desired article, and select the 'Download Article' option.

Q: How can I access the SID database?

To access the SID database, visit SID.ir, create an account, and log in to access scientific resources.

Q: Is downloading articles from SID free?

Some articles on SID are available for free, while others require payment. Details are specified on the article's page.

FALLAH SHAMS MIRFEIZ; KORDLOUIE HAMIDREZA

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

Journal Paper

Paper Information

Journal: FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT) Year:2011 | Volume:2 | Issue:7 Page(s): 37-72

Download Full-Text

Persian Verion

View:

1,227

Download:

Cites:

Information Journal Paper

Title

FORECASTING STOCK PRICE MANIPULATION IN CAPITAL MARKET

Author(s)

FALLAH SHAMS MIRFEIZ | KORDLOUIE HAMIDREZA | Issue Writer Certificate

Keywords

PRICE MANIPULATIONQ2

LIQUIDITYQ2

SIZE OF COMPANYQ2

FLOATING STOCKQ2

INFORMATION CLARITYQ1

Abstract

The goal of the present article is extending and developing econometrics and network structure based methods which are able to distinguish PRICE MANIPULATION in Tehran stock exchange. The principal goal of the present study is to offer model for approximating PRICE MANIPULATION in Tehran stock exchange. In order to do so by applying separation method a sample consisting of 397 companies accepted at Tehran stock exchange were selected and information related to their price and volume of trades during years 2001 until 2009 were collected and then through performing runs test, skewness test and duration correlative test the selected companies were divided into 2 sets of manipulated and non manipulated companies. In the next stage by investigating cumulative return process and volume of trades in manipulated companies, the date of starting PRICE MANIPULATION was specified and in this way the logit model, artificial neural network, and by using information related to SIZE OF COMPANY, clarity of information, ratio of PIE and LIQUIDITY of stock one year prior PRICE MANIPULATION; a model for forecasting PRICE MANIPULATION of stocks of companies present in Tehran stock exchange were designed. At the end the power of forecasting models were studied by using data of test set. Whereas the power of forecasting logit model for test set was 92.1 %, and for artificial neural network was 94.1%; therefore both of the 2 aforesaid models has high power to anticipate PRICE MANIPULATION and there is no considerable difference between forecasting power of these 3 models.

Cites

References

A STUDY ON FACTORS INFLUENCING THE PRICE MANIPULATION IN TEHRAN'S STOCK MARKET

Cite

APA: Copy

FALLAH SHAMS, MIRFEIZ, & KORDLOUIE, HAMIDREZA. (2011). FORECASTING STOCK PRICE MANIPULATION IN CAPITAL MARKET. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 2(7), 37-72. SID. https://sid.ir/paper/197895/en

Vancouver: Copy

FALLAH SHAMS MIRFEIZ, KORDLOUIE HAMIDREZA. FORECASTING STOCK PRICE MANIPULATION IN CAPITAL MARKET. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2011;2(7):37-72. Available from: https://sid.ir/paper/197895/en

IEEE: Copy

MIRFEIZ FALLAH SHAMS, and HAMIDREZA KORDLOUIE, “FORECASTING STOCK PRICE MANIPULATION IN CAPITAL MARKET,” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 2, no. 7, pp. 37–72, 2011, [Online]. Available: https://sid.ir/paper/197895/en

Related Journal Papers