Order-based manipulation: evidence from Hong Kong stock market

Chun-Hin Chan and Alfred Ka Chun Ma

Journal of Financial Crime, 2014, vol. 21, issue 1, 111-118

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: Limit order book; Order-based manipulation (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:eme:jfcpps:jfc-02-2013-0008

DOI: 10.1108/JFC-02-2013-0008

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