دانلود 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.