DETECTION OF STOCK PRICE MANIPULATION USING LINEAR AND QUADRATIC DISCRIMINANT ANALYSIS

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.

POUSTFROUSH MOHAMMAD HOSEIN; NASER SADRABADI ALIREZA; MOEINADDIN MAHMOOD

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

Journal Paper

Paper Information

Journal: FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES) Year:2016 | Volume:9 | Issue:29 Page(s): 17-39

Download Full-Text

Persian Verion

View:

1,578

Download:

Cites:

Information Journal Paper

Title

DETECTION OF STOCK PRICE MANIPULATION USING LINEAR AND QUADRATIC DISCRIMINANT ANALYSIS

Author(s)

POUSTFROUSH MOHAMMAD HOSEIN | NASER SADRABADI ALIREZA | MOEINADDIN MAHMOOD | Issue Writer Certificate

Keywords

MARKET PRICE MANIPULATIONQ2

LINEAR DISCRIMINANT ANALYSISQ2

QUADRATIC DISCRIMINANT ANALYSISQ2

Abstract

In this study, Discriminant Analysis (DA) model are used to estimate manipulation of stock prices in Tehran Stock Exchange. In this study, first by using screening data method, a sample of 345 companies listed in Tehran Stock Exchange were selected and then information about the 'TEDPIX' index, closing price, volatility of closing price and trading volume in the time frame years 1387 to 1391 were collected. Afterwards the selected companies categorized into manipulated and non-manipulated groups by using duration dependence test and skewness & kurtosis test. Then with scrutiny of the trend of Tedpix's chart and volume chart of the manipulated group, Start of price manipulation is determined. In next step by using Linear Discriminant Function (LDF) and Quadratic Discriminant Function (QDF) and by using closing price, volatility of closing price and trading volume variables and also using information in range one year before starting manipulation group and in range four years for non-manipulation group, designed models for forecasting manipulation. At the end, the prediction ability of the models was examined. According to the results, the prediction ability of LDF model is 56% and the prediction ability of QDF model is 73%.

Cites

No record.

References

Cite

APA: Copy

POUSTFROUSH, MOHAMMAD HOSEIN, NASER SADRABADI, ALIREZA, & MOEINADDIN, MAHMOOD. (2016). DETECTION OF STOCK PRICE MANIPULATION USING LINEAR AND QUADRATIC DISCRIMINANT ANALYSIS. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), 9(29), 17-39. SID. https://sid.ir/paper/200134/en

Vancouver: Copy

POUSTFROUSH MOHAMMAD HOSEIN, NASER SADRABADI ALIREZA, MOEINADDIN MAHMOOD. DETECTION OF STOCK PRICE MANIPULATION USING LINEAR AND QUADRATIC DISCRIMINANT ANALYSIS. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES)[Internet]. 2016;9(29):17-39. Available from: https://sid.ir/paper/200134/en

IEEE: Copy

MOHAMMAD HOSEIN POUSTFROUSH, ALIREZA NASER SADRABADI, and MAHMOOD MOEINADDIN, “DETECTION OF STOCK PRICE MANIPULATION USING LINEAR AND QUADRATIC DISCRIMINANT ANALYSIS,” FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), vol. 9, no. 29, pp. 17–39, 2016, [Online]. Available: https://sid.ir/paper/200134/en

Related Journal Papers