Unchecked manipulations, price–volume relationship and market efficiency: evidence from emerging markets

Azad, Sohel ASM, Azmat, Saad, Fang, Victor and Edirisuriya, Piyadasa 2014, Unchecked manipulations, price–volume relationship and market efficiency: evidence from emerging markets, Research in international business and finance, vol. 30, pp. 51-71.

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Title Unchecked manipulations, price–volume relationship and market efficiency: evidence from emerging markets
Author(s) Azad, Sohel ASM
Azmat, Saad
Fang, Victor
Edirisuriya, Piyadasa
Journal name Research in international business and finance
Volume number 30
Start page 51
End page 71
Total pages 21
Publisher Elsevier
Place of publication Philadelphia, USA
Publication date 2014-01
ISSN 0275-5319
1878-3384
Keyword(s) trade-induced manipulation
price–volume relationship
market efficiency
emerging markets
South Asia
Summary This paper investigates how unchecked manipulations could cause frequent trade-induced manipulations and weak-form market inefficiency in South Asian stock markets [Bombay Stock Exchange (BSE), Dhaka Stock Exchange (DSE) and Karachi Stock Exchange (KSE)]. Specifically, the paper analyses the price–volume relationship as one of the many cases of market inefficiency. By employing various econometric tests, this paper first provides conclusive evidence of market inefficiency in these markets. It then extracts evidence of manipulation periods from legal cases and analyses price–volume relationship during these periods. The paper finds that there exists market-wide trading-induced manipulations, where excessive buying and selling causes prices to inflate artificially before crashing down. The paper concludes that South-Asian markets are inefficient in the weak-form.
Language eng
Field of Research 150201 Finance
Socio Economic Objective 900102 Investment Services (excl. Superannuation)
HERDC Research category C1 Refereed article in a scholarly journal
Copyright notice ©2014, Elsevier
Persistent URL http://hdl.handle.net/10536/DRO/DU:30054881

Document type: Journal Article
Collection: School of Accounting, Economics and Finance
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