The Effects of Trade-based Manipulation on Stock Returns

Year 2020, Volume: 19 Issue: 2, 274 - 288, 25.04.2020

Eray Gemici , Mehmet Cihangir

https://doi.org/10.21547/jss.695251

Abstract

This study aims to examine the impact of the trade-based manipulative attempts on stock returns. The sample of the study is comprised of 143 companies that have performed trade-based manipulation in various sectors over the period 2000-2014. Event study method has been used in the study. The date when the manipulation started has been determined as the event day and event windows have been created in various periods accordingly. The findings show that the manipulation affects the stock returns in the short and long term.

Keywords

Trade-based manipulation, Istanbul Stock Exchange, Event Study

İşlem Bazlı Manipülasyonun Pay Senedi Getirileri Üzerindeki Etkisi

Abstract

Bu çalışma, işlem bazlı manipülatif girişimlerin pay senetleri üzerindeki etkisinin incelenmesini amaçlamaktadır. Çalışmanın örneklemini 2000-2014 döneminde çeşitli sektörlerde faaliyet gösteren işlem bazlı manipülasyon yapmış 143 şirket oluşturmaktadır. Çalışmada, olay etüdü yöntemi kullanılmıştır. Bu kapsamda manipülasyonun yapılmaya başlandığı tarih, olay günü olarak belirlenmiş ve buna bağlı olarak çeşitli dönemlerde olay pencereleri oluşturulmuştur. Elde edilen bulgular, kısa ve uzun dönemde manipülasyonun pay senedi getirilerini etkilediğini göstermektedir.

Keywords

İşlem bazlı manipülasyon, Borsa İstanbul, Olay Çalışması

References

• Aggarwal, Rajesh K., & Wu, G. (2006). Stock Market Manipulations. The Journal of Business, 79(4), 1915-1953. doi: 10.1086/503652
• Alkhamees, A. (2012). Private action as a remedy against market manipulation in the USA. Journal of Financial Regulation and Compliance, 20(1), 41-55. doi: 10.1108/13581981211199416
• Allen, F., & Gale, D. (1992). Stock-Price Manipulation. The Review of Financial Studies, 5(3), 503-529.
• Allen, F., & Gorton, G. (1992). Stock price manipulation, market microstructure and asymmetric information. European Economic Review, 36(2-3), 624-630. doi: 10.1016/0014-2921(92)90120-L
• Andresen, A. L. (1941). Manipulation of Over-The-Counter Securities Markets (Vol. 10).
• Boehmer, E., Masumeci, J., & Poulsen, A. B. (1991). Event-study methodology under conditions of event-induced variance. Journal of Financial Economics, 30(2), 253-272.
• Boehmer, E., Broussard, J. P., & Kallunki, J. P. (2002). Using SAS in Financial Research: SAS Publishing.
• Campbell, J. Y., Lo, A. W. C., & MacKinlay, A. C. (1997). The Econometrics of Financial Markets: Princeton University Press.
• Chambers, N. (2004). Sermaye Piyasalarında Manipülasyon ve İMKB'deki Örnekleri. Muhasebe ve Finansman Dergisi, 24, 62-72.
• Chatterjea, A., Cherian, J. A., & Jarrow, R. A. (1993). Market Manipulation and Corporate Finance: A New Perspective, 200.
• Comerton-Forde, C., & Putniņš, T. J. (2011). Measuring closing price manipulation. Journal of Financial Intermediation, 20, 135-158. doi: 10.1016/j.jfi.2010.03.003
• Corrado, C. J. (1989). A nonparametric test for abnormal security-price performance in event studies. Journal of Financial Economics, 23(2), 385-395.
• Cowan, A. R. (1992). Nonparametric event study tests. Review of Quantitative Finance and Accounting, 2(4), 343-358.
• Çalışkan, T. (2015). Borsa İstanbul'da Manipülasyon: 2001-2013 Yılları Arasında İşlem Yasaklıların Profili. Yönetim ve Ekonomi Araştırmaları Dergisi, 13(1), 381-391. de Brouwer, G. (2001). Hedge Funds in Emerging Markets: Cambridge University Press.
• Diaz, D., Theodoulidis, B., & Sampaio, P. (2011). Analysis of stock market manipulations using knowledge discovery techniques applied to intraday trade prices. Expert Systems with Applications, 38(10), 12757-12771. doi: 10.1016/j.eswa.2011.04.066
• Felixson, K., & Pelli, A. (1999). Day end returns - Stock price manipulation. Journal of Multinational Financial Management, 9(2), 95-127.
• Fischel, D. R., & Ross, D. J. (1991). Should the Law Prohibit "Manipulation" in Financial Markets? Harvard Law Review, 105(2), 503-553. doi: 10.2307/1341697
• Gerace, D., Chew, C., Whittaker, C., & Mazzola, P. (2014). Stock Market Manipulation on the Hong Kong Stock Exchange. Australasian Accounting, Business and Finance Journal, 8(4), 105-140.
• Gerard, B., & Nanda, V. (1993). Trading and Manipulation Around Seasoned Equity Offerings. Journal of Finance, 48(1), 213-245.
• Huang, Y. C., Chen, R. C., & Cheng, Y. J. (2005). Stock manipulation and its impact on market quality: working paper, National Kaohsiung First University of Science and Technology, Kaohsiung 811, Taiwan, ROC h ttp://www. finance. nsysu. edu. tw/SFM/14thSFM/FullPapers/060. pdf.
• IOSCO. (2000). Investigating and Prosecuting Market Manipulation: Technical Committee of the International Organization of Securities Commissions.
• Jarrow, R. A. (1992). Market Manipulation, Bubbles, Corners, and Short Squeezes. The Journal of Financial and Quantitative Analysis, 27(3), 311-336. doi: 10.2307/2331322
• Jiang, G., Mahoney, P., & Mei, J. (2005). Market manipulation: A comprehensive study of stock pools. Journal of Financial Economics, 77(1), 147-170. doi: 10.1016/j.jfineco.2004.10.005
• Korsmo, C. R. (2013). High-Frequency Trading: A Regulatory Strategy. University of Richmond Law Review 48 U. Rich. L. Rev, 48, 523-610.
• Kose John, & Ranga Narayanan. (1997). Market Manipulation and the Role of Insider Trading Regulations. The Journal of Business, 70(2), 217-247. doi: 10.1086/209716
• Kumar, P., & Seppi, D. J. (1992). Futures Manipulation with "Cash Settlement.". Journal of Finance, 47(4), 1485-1502.
• Lee, E. J., Eom, K. S., & Park, K. S. (2013). Microstructure-based manipulation: Strategic behavior and performance of spoofing traders. Journal of Financial Markets, 16(2), 227-252. doi: 10.1016/j.finmar.2012.05.004
• Manavgat, Ç. (2008). Sermaye Piyasasında İşleme Dayalı Manipülasyon Ve Özel Hukuk Bakımından Sonuçları. Ankara: Banka Ve Ticaret Hukuku Araştırma Enstitüsü.
• Mazgit, I. (2013). Endeks Kapsaminda Olmanin Hisse Senedi Getirilerine Etkisi: BIST Temettü 25 Endeksi Üzerine Bir Uygulama. Sosyoekonomi(2), 225.
• Mei, J., Wu, G., & Zhou, C. (2004). Behavior based manipulation: theory and prosecution evidence. Available at SSRN 457880.
• Özcan, R. (2013). Hisse Senedi Piyasalarında Manipülasyon Stratejileri. İMKB Dergisi(49), 19-41.
• Patell, J. M. (1976). Corporate forecasts of earnings per share and stock price behavior: Empirical test. Journal of accounting research, 246-276.
• Peterson, P. P. (1989). Event Studies: A Review of Issues and Methodology. Quarterly Journal of Business and Economics, 28(3), 36-66.
• Porterfield, P. L. (1940). Securities: Stock Market Manipulation at Common Law and under Recent Federal Securities Legislation. California Law Review, 28(3), 378-386. doi: 10.2307/3476183
• Strong, N. (1992). Modelling Abnormal Returns: A Review Article. Journal of Business Finance & Accounting, 19(4), 533-553. doi: 10.1111/j.1468-5957.1992.tb00643.x
• Şensoy, D. (2013). Manipülasyon; Piyasa Dolandırıcılığı Suçu, Uygulanacak Tedbirler ve Yaptırımlar. Ankara Barosu Dergisi(3), 371-399.
• Stolowy, H., & Breton, G. (2004). Accounts manipulation: A literature review and proposed conceptual framework. Review of Accounting and Finance, 3(1), 5-92.
• Tezcanlı, M. (1996). İçeriden Öğrenenlerin Ticareti ve Manipülasyonlar. İstanbul: İstanbul Menkul Kıymetler Borsası Yayınları.
• Yolsal, H. (2011). Applications of Parametric and Nonparametric Tests for Event Studies on ISE. Ekonometri ve Istatistik Dergisi(15), 53.
• Zyl, F. H. V., & Joubert, K. (1994). Regulation of International Securities Fraud. S. Afr. Mercantile LJ, 6, 169-177.