Unchecked manipulations,price–volume relationship and market efficiency: Evidence from emerging markets |
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| Institution: | 1. School of Accounting, Economics and Finance, Faculty of Business and Law, Deakin University, 221 Burwood Highway, Burwood, Victoria 3168, Australia;2. Faculty of Accounting and Finance, Suleman Dawood School of Business, Lahore University of Management Science, DHA Phase III Hospital, Street 29, Lahore 54792, Pakistan;3. Department of Accounting and Finance, Faculty of Business and Economics, Monash University, Caulfield East, Victoria, Australia;1. The Centre for Digital Finance, Southampton Business School, United Kingdom;2. University of Warsaw, Faculty of Economics Sciences, Poland;1. Independent Researcher;2. TOBB University of Economics and Technology, Department of Economics, Sogutozu Cad. No: 43 06530 Sogutozu, Ankara, Turkey;1. Heriot-Watt University;2. Southampton Business School, University of Southampton;3. ICMA Centre, Henley Business School, University of Reading |
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| Abstract: | This paper investigates how unchecked manipulations could cause frequent trade-induced manipulations and weak-form market inefficiency in South Asian stock markets Bombay Stock Exchange (BSE), Dhaka Stock Exchange (DSE) and Karachi Stock Exchange (KSE)]. Specifically, the paper analyses the price–volume relationship as one of the many cases of market inefficiency. By employing various econometric tests, this paper first provides conclusive evidence of market inefficiency in these markets. It then extracts evidence of manipulation periods from legal cases and analyses price–volume relationship during these periods. The paper finds that there exists market-wide trading-induced manipulations, where excessive buying and selling causes prices to inflate artificially before crashing down. The paper concludes that South-Asian markets are inefficient in the weak-form. |
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| Keywords: | Trade-induced manipulation Price–volume relationship Market efficiency Emerging markets South Asia |
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