Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
961047 | Journal of Financial Markets | 2013 | 26 Pages |
Abstract
⺠We examine a microstructure-based manipulation, a new kind of manipulation. ⺠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. ⺠Stocks targeted for manipulation had higher return volatility, lower market capitalization, lower price level, and lower managerial transparency. ⺠Spoofers achieved substantial extra profits. ⺠The frequency of spoofing orders decreased drastically after the KRX altered its order-disclosure rule.
Keywords
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Eun Jung Lee, Kyong Shik Eom, Kyung Suh Park,