Market impacts of trades for stocks listed on the Borsa Istanbul

Aktas, Osman Ulas; Kryzanowski, Lawrence

doi:10.1016/j.ememar.2014.06.002

Cited by 7 publications

(2 citation statements)

References 61 publications

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“…Such price manipulation increases market inefficiency and triggers front-running before larger trades (Chaturvedula et al, 2015). Aktas and Kryzanowski (2014) also show that informed trading often results in larger trades. However, these larger trades can exhibit the asymmetric impact of buy and sell (Alzahrani et al, 2012).…”

Section: Hypothesis Developmentmentioning

confidence: 87%

What’s hidden behind bulk deals? A study on Indian stock market

Rajvanshi

Paul

2022

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Purpose Emerging market, like India, is characterised by poor institutional structure, weaker regulations and higher information asymmetry which may lead to stock price manipulation. This study shed some light on such manipulation by investigating front-running behaviour around the bulk deals of stocks traded at the National Stock Exchange (NSE) from 2010 to 2019.Design/methodology/approach The authors employ an event study methodology to identify front-running in pre-event period of bulk deals. The bulk deals are classified into Only Buy, Only Sell, Partial Buy and Partial Sell trades. They are further subsampled based on the category of investors. Through cross-sectional regression, the authors also identify factors explaining such front-running.Findings The results show that the front-runners can achieve 5%–7% returns within a week around the event day. Abnormal Returns (AR) before the deals are higher for “Buy” deals than “Sell” deals. The authors also examine the role of volume and delivery in explaining the AR and cumulative abnormal returns (CAR). Lagged CAR, change in volume and change in delivery explain the AR. The results are robust after controlling for Bullish and Bearish Periods.Originality/value To the best of authors’ knowledge, this is the first study that explores the front-running in “Partial Buy” and “Partial Sell” bulk deals. Further, it investigates whether the category of investors has any role in front running. It empirically tests the asymmetric market reaction between “Buy” and “Sell” trades. Finally, it examines the role of volume and delivery in front-running.

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Section: Hypothesis Developmentmentioning

confidence: 87%

What’s hidden behind bulk deals? A study on Indian stock market

Rajvanshi

Paul

2022

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“…Aktas & Kryzanowski (2014) studied manipulation in Borsa Istanbul and found that the higher price effects in the last minutes of a trading session and the variation in price effects have important implications for market regulators in terms of refining their surveillance systems to better control end-of-session price manipulation.…”

Section: Literature Reviewmentioning

confidence: 99%

Closing Price Manipulation in Indonesia Stock Exchange

Fatluchi¹,

Rokhim²

2017

Proceedings of the International Conference on Business and Management Research (ICBMR-17)

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This study examined closing price manipulation in Indonesia Stock Exchange using return correlation, return volatility and volume shifting. The study utilized the data sample during September 2016 to February 2017. From 20 biggest market capitalizations, more than 50% of the sample were indicated having closing price manipulation. This study also featured deep interview with market practitioners, fundamental and internal external events. The results show that 31% of information disclosure reported to IDX after market close has effect on price reversal. There was also significant proportion of volume shifts to pre-closing indicates the economic importance of the last minutes of trading and the heightened volatility suggests that closing price contains transitory component.

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