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Market abuse under different close price determination mechanisms: A European case

Alexakis, Christos, Pappas, Vasileios, Skarmeas, Emmanouil (2021) Market abuse under different close price determination mechanisms: A European case. International Review of Financial Analysis, . Article Number 101707. ISSN 1057-5219. (doi:10.1016/j.irfa.2021.101707) (Access to this publication is currently restricted. You may be able to access a copy if URLs are provided) (KAR id:85727)

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Abstract

We examine the presence and the severity of closing price manipulation across two regulatory shifts in the close price determination mechanism in the Athens stock exchange. First, we assess the transition from a value-weighted average price (VWAP) method to a plain-vanilla closing call auction method (CCAM). Second, we examine the effectiveness of additional features of CCAMs in deterring closing price manipulation. We use tick level data with full investor details for a group of highly traded stocks. Our results suggest that the CCAM managed to reduce - but not eliminate - closing price manipulation. CCAMs with additional anti-manipulation features are not effective in eliminating closing price manipulation either. Manipulation is dynamic and investors quickly adapt to new circumstances and opportunities; post-CCAM implementation sell-based closing price manipulation has increased, while part of the manipulation activity has shifted to the reference price formation.

Item Type: Article
DOI/Identification number: 10.1016/j.irfa.2021.101707
Uncontrolled keywords: Athens stock exchange; Closing call auction; Closing price manipulation; Tick-level data; Volatility
Subjects: H Social Sciences > HG Finance
Divisions: Divisions > Kent Business School - Division > Kent Business School (do not use)
Depositing User: Vasileios Pappas
Date Deposited: 28 Jan 2021 13:53 UTC
Last Modified: 16 Feb 2021 14:17 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/85727 (The current URI for this page, for reference purposes)
Pappas, Vasileios: https://orcid.org/0000-0003-1885-4832
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