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Order-based manipulation: evidence from Hong Kong stock market.
- Source :
- Journal of Financial Crime; 2014, Vol. 21 Issue 1, p111-118, 8p
- Publication Year :
- 2014
-
Abstract
- Purpose – The paper aims to investigate order-based manipulation that consists of order-placing strategies. Design/methodology/approach – Using the bid and ask record provided by Hong Kong Exchanges and Clearing Limited, a Level II dataset, the paper develops a methodology to obtain cancelled orders during regular trading hours. The paper examines the cancelled orders and potential order-based manipulation activities, as well as the corresponding behavior of different groups of stocks. Findings – Empirical results show that the relationship between order cancellation and order-based manipulation is strong and deserves more attention. Originality/value – The methodology can also be used by regulators and authorities to monitor suspicious activities in the market. This paper also suggests that analysis on high-frequency data does improve the understanding of trading activities in the stock market. [ABSTRACT FROM AUTHOR]
- Subjects :
- STOCK exchanges
LIMIT order book
STOCK prices
ECONOMICS
Subjects
Details
- Language :
- English
- ISSN :
- 13590790
- Volume :
- 21
- Issue :
- 1
- Database :
- Complementary Index
- Journal :
- Journal of Financial Crime
- Publication Type :
- Academic Journal
- Accession number :
- 93621120
- Full Text :
- https://doi.org/10.1108/JFC-02-2013-0008