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Title: Wash trades as a stock market manipulation tool
Authors: İmişiker, Serkan
Taş, Bedri Kamil Onur
Keywords: Market structure
Wash trades
Trade-based manipulation
Issue Date: 1-Dec-2018
Publisher: Elsevier B. V.
Source: Imisiker, S., & Tas, B. K. O. (2018). Wash trades as a stock market manipulation tool. Journal of Behavioral and Experimental Finance, 20, 92-98.
Abstract: This study empirically investigates the profitability of one of the most widely used trade-based manipulation tools, namely wash trading. Using a unique account-level data set for the period 2003–2006 from the Istanbul Stock Exchange (ISE), we generate a measure for the usage of wash trades for each individual account and examine whether wash trading provides excess returns for investors. Our empirical results reveal that significant numbers of investors perform wash trades. In addition, we analyze the optimal percentage of wash trades at which investors maximize excess profits. We find that having up to 10% of total trades as wash trades is the most profitable range, with a 0.5% monthly excess return.
ISSN: 2214-6350
Appears in Collections:İktisat Bölümü / Department of Economics
Scopus İndeksli Yayınlar Koleksiyonu / Scopus Indexed Publications Collection
WoS İndeksli Yayınlar Koleksiyonu / WoS Indexed Publications Collection

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