Market Manipulation before Block Trades: Evidence from the Tehran Stock Exchange

Please enable javascript in your browser.

Saeedi, Kianoush | 2021

218 Viewed

Type of Document: M.Sc. Thesis
Language: Farsi
Document No: 54602 (44)
University: Sharif University of Technology
Department: Management and Economics
Advisor(s): Ebrahimnejad, Ali
Abstract:
Price manipulation can lead to lack of transparency and impair proper functioning of financial markets. On the Tehran Stock Exchange, there is ample anecdotal evidence that some blockholders try to manipulate the price before the block transactions to change the share price significantly. In this paper, we provide empirical evidence that in intergroup block trades, blockholders tend to buy shares before the trade date or engage in round-trip transactions to increase the block shares price. No such evidence is found in intragroup transactions and other explanations such as market reaction to a change in corporate ownership seem more plausible than price manipulation. In addition to the intragroup or intragroup block trades, we show that some characteristics such as size, liquidity, and concentration of ownership are consistent with the manipulation hypothesis. We do not find evidence of price manipulation on the buyer side of block trades
Keywords:
Block Trading ; Blockholder ; Price Manipulation ; Cumulative Abnormal Return ; Intragroup-Trade ; Intergroup Block Trades ; Tehran Stock Exchange

No TOC