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

journal contribution
posted on 2014-01-01, 00:00 authored by Sohel AzadSohel Azad, S Azmat, Victor Fang, P Edirisuriya
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.

History

Journal

Research in international business and finance

Volume

30

Pagination

51 - 71

Publisher

Elsevier

Location

Philadelphia, USA

ISSN

0275-5319

eISSN

1878-3384

Language

eng

Publication classification

C1 Refereed article in a scholarly journal

Copyright notice

2014, Elsevier