A new method of measuring stock market manipulation through structural equation modeling (SEM)
| Autor: | Abu Sadat Muhammad Ashif, Maruf Rahman Maxim |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2017 |
| Předmět: |
Economics and Econometrics
050208 finance Information retrieval Computer science business.industry Corporate governance 05 social sciences Economics Econometrics and Finance (miscellaneous) structural equation model Latent variable market misconduct Structural equation modeling 0502 economics and business Systematic risk lcsh:Finance lcsh:HG1-9999 Econometrics market manipulation Stock market 050207 economics Volatility (finance) business Publication Finance Stock (geology) |
| Zdroj: | Investment Management & Financial Innovations, Vol 14, Iss 3, Pp 54-61 (2017) |
| ISSN: | 1812-9358 1810-4967 |
| Popis: | This paper proposes a new model of measuring a latent variable, stock market manipulation. The model bears close resemblance with the literature on economic well-being. It interprets the manipulation of a stock as a latent variable, in the form of a multiple indicators and multiple causes (MIMIC) model. This approach exploits systematic relations between various indicators of manipulation and between manipulation and multiple causes, which allows it to identify the determinants of manipulation and an index of manipulation simultaneously. The main reason of stock market manipulation comes from the fact that information availability is not universally equal. The manipulation is thus critically linked to the creation, arrival and dissemination of information or rumors/mis-information. Thus, the immediate impact of manipulation is on the time profile of returns, or excess returns, from an asset and the excess volatility of returns in excess of the volatility explained by the fundamentals. In this basic setup, the model used these two variables as the indicators of stock market manipulation. The main intuition of the MIMIC approach is that some variables, or statistics, related to peace are indicators of manipulation, while others signify effects or outputs of causal factors, or inputs, of manipulation. In other words, distinction can be made between causes of manipulation and indicators of manipulation. The causal factors used in this model are classified into five different domains namely pure economic factors as determinants of manipulation, labor market conditions, international factors, quality of governance factors and systematic risk factors. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
|