Article ID Journal Published Year Pages File Type
961047 Journal of Financial Markets 2013 26 Pages PDF
Abstract
► We examine a microstructure-based manipulation, a new kind of manipulation. ► Investors strategically placed spoofing orders which, given the Korea Exchange's (KRX's) order-disclosure rule at the time, created the impression of a substantial order book imbalance, with the intent to manipulate subsequent prices. ► Stocks targeted for manipulation had higher return volatility, lower market capitalization, lower price level, and lower managerial transparency. ► Spoofers achieved substantial extra profits. ► The frequency of spoofing orders decreased drastically after the KRX altered its order-disclosure rule.
Keywords
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Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
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