TY - JOUR
T1 - Unchecked manipulations, price-volume relationship and market efficiency: Evidence from emerging markets
AU - Azad, Asm Sohel
AU - Azmat, Saad
AU - Fang, Victor K F
AU - Edirisuriya, Piyadasa
PY - 2014
Y1 - 2014
N2 - 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.
AB - 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.
U2 - 10.1016/j.ribaf.2013.05.003
DO - 10.1016/j.ribaf.2013.05.003
M3 - Article
VL - 30
SP - 51
EP - 71
JO - Research in International Business and Finance
JF - Research in International Business and Finance
SN - 0275-5319
ER -