Closing price manipulation in Borsa Istanbul and the impact of call auction sessions

Eyup Kadioðluu, Guray Kucukkocaoglu and Saim Kilic
Authors registered in the RePEc Author Service: Eyüp Kadıoğlu

Borsa Istanbul Review, 2015, vol. 15, issue 3, 213-221

Abstract: To reduce extraordinary price movement and to ensure more effective price formation at closing time, Borsa Istanbul implemented closing call auction sessions on March 2, 2012. This study tests the effect of closing call auction sessions on closing price manipulation in Borsa Istanbul using 102 shares in various indexes. The analysis focuses on 624 days from November 1, 2006 to May 31, 2012. The results reveal an upward-oriented closing price manipulation prior to the implementation of closing call auction sessions. The data show a significant elimination in closing price manipulation following the implementation of closing call auction sessions.

Keywords: Closing price; Call auction; Manipulation (search for similar items in EconPapers)
JEL-codes: G14 G15 G18 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:bor:bistre:v:15:y:2015:i:3:p:213-221

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