Work

The Manipulator's Poker: Order-Based Manipulation in the Chinese Stock Market

Year: 2014

Type: article

Abstract: This paper investigates order-based manipulation, a new type of market manipulation, and its effects on investors’ behavior and market efficiency. Using a unique dataset on an order-based manipulation case from the Chinese stock market, we show the following: 1) order-based manipulation affects market liquidity and trading behaviors; 2) the manipulator pretends to be an informed trader or expects to be looked at as informed by choosing a “right” time; and 3) the manipulation rapidly changes investors' reactions to the market order/depth imbalance in the short run, and the effect gradually drops during the post-manipulation period. Our results are robust compared with alternative measures, and they offer clear implications for both theory and policy.

Source: Emerging Markets Finance and Trade

DOI: 10.2753/ree1540-496x500204

Authors: Dongmin Kong, Maobin Wang

Institutions: Huazhong University of Science and Technology, University of International Business and Economics

Language: English

Topic: Financial Markets and Investment Strategies

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W2016166338

FWCI: 4.881

Cites: 30

Cited by: 31

Related to: 10