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Paper Information

Journal:   JOURNAL OF MACROECONOMICS (JOURNAL OF ECONOMICS SCIENCES)   2009-2010 , Volume 9 , Number 2 (35); Page(s) 83 To 104.
 
Paper: 

A STUDY ON FACTORS INFLUENCING THE PRICE MANIPULATION IN TEHRAN'S STOCK MARKET

 
 
Author(s):  FALAH SHAMS M.F.*
 
* AZAD ISLAMIC UNIVERSITY, BRANCH OF TEHRAN MARKAZ
 
Abstract: 

Certainly, knowing what factors are influencing Price manipulation is of great importance having information transparency, fair pricing of capital assets and promoting the market efficiency.
In this article, first, the abnormal Retums- significance difference between actual and risk-based adjusted expected rectums- by using an autoregressive test, for all 130 accepted firms in Tehran's stock market during 2000-2004 are calculated, which seemed to be manipulated, since they had been experienced great fluctuations in their stock prices. For any firm, if changes in its share's prices is not at random and/or its stock prices is auto correlated with the past ones, we can come to this conclusion that the firm is under a price manipulation. In the next stage, we have developed a binary logic regression model for predicting the firms' price manipulation based on the four factors, namely, the information transparency, the liquidity of the shares, the size (capital) of the firm and the PIE ratio. The dataset for fitting the model has been collected from one year before the firm being faced with price manipulation. Finally, the model efficiency for predicting Price manipulation in Tehran's stock market is validated by using appropriate statistical tests such as, The Wald, Likelihood, and the Wlik's Lambda tests.

 
Keyword(s): PRICE MANIPULATION, LIQUIDITY OF STOCK, INFORMATION
 
References: 
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