Determinimg Manipulation Effect on Market Efficiency in Tehran Stock Exchange

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Rabiee Reyhaneh; NADRI MOHAMMAD; PEYMANI MOSLEM; Jaberizadeh Ali

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Journal Paper

Paper Information

Journal: JOURNAL OF SECURITIES EXCHANGE Year:2018 | Volume:11 | Issue:43 Page(s): 113-131

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Title

Determinimg Manipulation Effect on Market Efficiency in Tehran Stock Exchange

Author(s)

Rabiee Reyhaneh | NADRI MOHAMMAD | PEYMANI MOSLEM | Jaberizadeh Ali | Issue Writer Certificate

Keywords

Market ManipulationQ1

Information AsymmetryQ2

Market EfficiencyQ1

Abstract

This study is empirically examining effect of spoofing order-entering manipulation on the efficiency of Tehran stock exchange. For this reason a sample set with 288 listed stocks in Tehran stock exchange, which include 144 cases of Market Manipulation for 3-month period from January 2015 to march 2015, that creates 14, 516 observations is selected. By collecting needed data in order to detect the effect of manipulation and volatility on bid, ask spread and volume as Market Efficiency criteria. For model analysis, Panel data regression is used. Results showed that bid ask spread and proportional bid ask spread increase before manipulation and decrease after that. Stocks with high volume are prone to Market Manipulation. This means that Tehran stock exchange is capable of efficiently responding to the presence of manipulators and promote efficiency measures. Presence of information seeking investors who are trading by following manipulators with insider information is effective in providing this situation.

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APA: Copy

Rabiee, Reyhaneh, NADRI, MOHAMMAD, PEYMANI, MOSLEM, & Jaberizadeh, Ali. (2018). Determinimg Manipulation Effect on Market Efficiency in Tehran Stock Exchange. JOURNAL OF SECURITIES EXCHANGE, 11(43 ), 113-131. SID. https://sid.ir/paper/388941/en

Vancouver: Copy

Rabiee Reyhaneh, NADRI MOHAMMAD, PEYMANI MOSLEM, Jaberizadeh Ali. Determinimg Manipulation Effect on Market Efficiency in Tehran Stock Exchange. JOURNAL OF SECURITIES EXCHANGE[Internet]. 2018;11(43 ):113-131. Available from: https://sid.ir/paper/388941/en

IEEE: Copy

Reyhaneh Rabiee, MOHAMMAD NADRI, MOSLEM PEYMANI, and Ali Jaberizadeh, “Determinimg Manipulation Effect on Market Efficiency in Tehran Stock Exchange,” JOURNAL OF SECURITIES EXCHANGE, vol. 11, no. 43 , pp. 113–131, 2018, [Online]. Available: https://sid.ir/paper/388941/en

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