Unchecked manipulations, price-volume relationship and market efficiency: Evidence from emerging markets

Asm Sohel Azad; Saad Azmat; Victor K F Fang; Piyadasa Edirisuriya

doi:10.1016/j.ribaf.2013.05.003

Unchecked manipulations, price-volume relationship and market efficiency: Evidence from emerging markets

Asm Sohel Azad, Saad Azmat, Victor K F Fang, Piyadasa Edirisuriya

Research output: Contribution to journal › Article › Research › peer-review

21 Citations (Scopus)

Abstract

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.

Original language	English
Pages (from-to)	51 - 71
Number of pages	21
Journal	Research in International Business and Finance
Volume	30
DOIs	https://doi.org/10.1016/j.ribaf.2013.05.003
Publication status	Published - 2014

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10.1016/j.ribaf.2013.05.003

Cite this

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title = "Unchecked manipulations, price-volume relationship and market efficiency: Evidence from emerging markets",

abstract = "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.",

author = "Azad, {Asm Sohel} and Saad Azmat and Fang, {Victor K F} and Piyadasa Edirisuriya",

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journal = "Research in International Business and Finance",

issn = "0275-5319",

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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 -