Comerton-Forde, Carole; Putnins, Talis J. - In: Journal of Financial Intermediation 20 (2011) 2, pp. 135-158
We quantify the effects of closing price manipulation on trading characteristics and stock price accuracy using a … unique sample of prosecuted manipulation cases. Based on these findings we construct an index of the probability and … intensity of closing price manipulation. As well as having regulatory applications, this index can be used to study manipulation …