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Carole Comerton-Forde, Tālis J. Putniņš, Stock Price Manipulation: Prevalence and Determinants, Review of Finance, Volume 18, Issue 1, January 2014, Pages 23–66, https://doi.org/10.1093/rof/rfs040
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Abstract
We empirically analyze the prevalence and economic underpinnings of closing price manipulation and its detection. We estimate that ∼1% of closing prices are manipulated, of which only a small fraction is detected and prosecuted. We find that stocks with high levels of information asymmetry and mid to low levels of liquidity are most likely to be manipulated. A significant proportion of manipulation occurs on month/quarter-end days. Manipulation on these days is more likely in stocks with high levels of institutional ownership. Government regulatory budget has a strong effect on both manipulation and detection.