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 journalArticleResearchpeer-review

    33 Citations (Scopus)


    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 languageEnglish
    Pages (from-to)51 - 71
    Number of pages21
    JournalResearch in International Business and Finance
    Publication statusPublished - 2014

    Cite this