TY - JOUR
T1 - Wash trades as a stock market manipulation tool
AU - Imisiker, Serkan
AU - Tas, Bedri Kamil Onur
N1 - Publisher Copyright:
© 2018 Elsevier B.V.
PY - 2018/12
Y1 - 2018/12
N2 - This study empirically investigates the profitability of one of the most widely used trade-based manipulation tools, namely wash trading. Using a unique account-level data set for the period 2003–2006 from the Istanbul Stock Exchange (ISE), we generate a measure for the usage of wash trades for each individual account and examine whether wash trading provides excess returns for investors. Our empirical results reveal that significant numbers of investors perform wash trades. In addition, we analyze the optimal percentage of wash trades at which investors maximize excess profits. We find that having up to 10% of total trades as wash trades is the most profitable range, with a 0.5% monthly excess return.
AB - This study empirically investigates the profitability of one of the most widely used trade-based manipulation tools, namely wash trading. Using a unique account-level data set for the period 2003–2006 from the Istanbul Stock Exchange (ISE), we generate a measure for the usage of wash trades for each individual account and examine whether wash trading provides excess returns for investors. Our empirical results reveal that significant numbers of investors perform wash trades. In addition, we analyze the optimal percentage of wash trades at which investors maximize excess profits. We find that having up to 10% of total trades as wash trades is the most profitable range, with a 0.5% monthly excess return.
KW - Market structure
KW - Trade-based manipulation
KW - Wash trades
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U2 - 10.1016/j.jbef.2018.08.004
DO - 10.1016/j.jbef.2018.08.004
M3 - Article
AN - SCOPUS:85053728822
SN - 2214-6350
VL - 20
SP - 92
EP - 98
JO - Journal of Behavioral and Experimental Finance
JF - Journal of Behavioral and Experimental Finance
ER -