Order-based manipulation: evidence from Hong Kong stock market
Abstract
Purpose
The paper aims to investigate order-based manipulation that consists of order-placing strategies.
Design/methodology/approach
Using the bid and ask record provided by Hong Kong Exchanges and Clearing Limited, a Level II dataset, the paper develops a methodology to obtain cancelled orders during regular trading hours. The paper examines the cancelled orders and potential order-based manipulation activities, as well as the corresponding behavior of different groups of stocks.
Findings
Empirical results show that the relationship between order cancellation and order-based manipulation is strong and deserves more attention.
Originality/value
The methodology can also be used by regulators and authorities to monitor suspicious activities in the market. This paper also suggests that analysis on high-frequency data does improve the understanding of trading activities in the stock market.
Keywords
Citation
Chan, C.-H. and Ka Chun Ma, A. (2014), "Order-based manipulation: evidence from Hong Kong stock market", Journal of Financial Crime, Vol. 21 No. 1, pp. 111-118. https://doi.org/10.1108/JFC-02-2013-0008
Publisher
:Emerald Group Publishing Limited
Copyright © 2014, Emerald Group Publishing Limited