Day end returns - stock price manipulation

Karl Felixson, Anders Pelli

Research output: Contribution to journalArticleScientificpeer-review

32 Citations (Scopus)

Abstract

In this paper, we examine if closing prices are manipulated. Earlier research has shown that closing prices are one of the most used benchmarks against which trader performance is evaluated. If a trader takes a big net position a given day, it is likely that he wants to enhance his performance by manipulating the closing price. We build a simple regression model to test for closing price manipulation in the Finnish stock market. Robustness checks were made for the effect of: size of the net position, differences in returns across firms, different size of net position for different firms, block trades and spread trades. The results before close, for the base case, were in line with our hypothesis. However, the robustness checks showed that block trades and spread trades explained a part, but not all, of our results. The results after close were generally weak, but tilted towards our hypothesis.
Original languageEnglish
Peer-reviewed scientific journalJournal of Multinational Financial Management
Volume9
Issue number2
Pages (from-to)95-127
Number of pages33
ISSN1042-444X
DOIs
Publication statusPublished - 21.05.1999
MoE publication typeA1 Journal article - refereed

Keywords

  • 511 Economics
  • Stock market returns
  • Closing price
  • Manipulation

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