A MODEL FOR PRICE MANIPULATION PREDICTION CASE STUDY: TEHRAN STOCK EXCHANGE

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FALAH SHAMS MIRFIEYZ; MOHAMMADI MAHMOOD

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Journal: JOURNAL OF SUSTAINABLE GROWTH AND DEVELOPMENT (THE ECONOMIC RESEARCH) Year:2011 | Volume:11 | Issue:2 Page(s): 30-41

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Title

A MODEL FOR PRICE MANIPULATION PREDICTION CASE STUDY: TEHRAN STOCK EXCHANGE

Author(s)

FALAH SHAMS MIRFIEYZ | MOHAMMADI MAHMOOD | Issue Writer Certificate

Keywords

PRICE MANIPULATIONQ2

LIQUIDITY OF STOCKQ3

INFORMATION TRANSPARENCYQ2

STOCK-PRICE TOLERANCEQ3

FREE FLOATING STOCKQ3

TEHRAN STOCK EXCHANGEQ2

BINARY REGRESSION MODELQ2

Abstract

PRICE MANIPULATION in the TEHRAN STOCK EXCHANGE has been one of the most widely discussed issues among academic and professional practitioners in recent years. In this article, we first calculated the abnormal Returns- significance difference between actual and risk-based adjusted expected returns- by using an autoregressive test, for all 130 accepted firms in the Tehran stock market during 2002-2006, which seemed to be manipulated, since they had experienced great fluctuations in their stock prices. For any firm, if changes in share prices are not at random and/or its stock prices are autocorrelated with the past ones, it can be concluded that the firm is under a PRICE MANIPULATION. In the next stage, we have developed a binary logit regression model for predicting the firms' PRICE MANIPULATION based on four factors i.e. the INFORMATION TRANSPARENCY, the liquidity of the shares, the size (capital) of the firm and the P/E ratio. Finally, the model efficiency for predicting PRICE MANIPULATION in the TEHRAN STOCK EXCHANGE is validated by using appropriate statistical tests such as, The Wald, Likelihoods Function, and the Wilk's Lambda tests. The results showed that the model is efficient and robust for predicting the PRICE MANIPULATION (P<0.05, Wilk's Lambda=0.205, Cox & Snell R2=0.792, 0.799, -2Log likelihood= 27.49).

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APA: Copy

FALAH SHAMS, MIRFIEYZ, & MOHAMMADI, MAHMOOD. (2011). A MODEL FOR PRICE MANIPULATION PREDICTION CASE STUDY: TEHRAN STOCK EXCHANGE. JOURNAL OF SUSTAINABLE GROWTH AND DEVELOPMENT (THE ECONOMIC RESEARCH), 11(2), 30-41. SID. https://sid.ir/paper/86430/en

Vancouver: Copy

FALAH SHAMS MIRFIEYZ, MOHAMMADI MAHMOOD. A MODEL FOR PRICE MANIPULATION PREDICTION CASE STUDY: TEHRAN STOCK EXCHANGE. JOURNAL OF SUSTAINABLE GROWTH AND DEVELOPMENT (THE ECONOMIC RESEARCH)[Internet]. 2011;11(2):30-41. Available from: https://sid.ir/paper/86430/en

IEEE: Copy

MIRFIEYZ FALAH SHAMS, and MAHMOOD MOHAMMADI, “A MODEL FOR PRICE MANIPULATION PREDICTION CASE STUDY: TEHRAN STOCK EXCHANGE,” JOURNAL OF SUSTAINABLE GROWTH AND DEVELOPMENT (THE ECONOMIC RESEARCH), vol. 11, no. 2, pp. 30–41, 2011, [Online]. Available: https://sid.ir/paper/86430/en

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