Using SADF Test to detect Pump and Dump Manipulation: The Empirical Research of U.S Stock Market
| Autor: | You-Long Yu, 俞佑龍 |
|---|---|
| Rok vydání: | 2018 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 106 This study mainly detects stock price manipulation cases that were sentenced by the U.S Securities and Exchange Commission and the court between 2005 and 2016 in violation of the Securities Act of 1933 and the Securities Exchange Act of 1934. we pick out the case of the stock price manipulation case that is most noticed by the SEC, and use the SADF test proposed by Phillips, Wu and Yu (2011) to detect whether the stock price violates the trend of random walk, and use it as the judgment of manipulation interval. This study also follows Yeh, Lin, Chu (2015) to define the starting point and ending point of the stock price manipulation, and to compare the detection ability of the SADF test compared with the different manipulation type and the court judgment period. Also try to estimate the maximum profitable profit of the manipulator from a more objective post perspective, as a basis for discretion compensation investors' losses and sentencing, and to protect innocent manipulated stocks and investors' interests. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
| Externí odkaz: |
|