Altuğ, Sumru - In: Emerging Markets Finance and Trade 50 (2014) 2, pp. 99-101
This paper investigates order-based manipulation and its effects on investor behavior and market efficiency. Using a … unique data set from the Chinese stock market, we show that (1) order-based manipulation affects market liquidity and trading … the manipulation, and (3) the manipulation rapidly changes investor reaction to the market order/depth imbalance in the …