Doctor of Philosophy (PhD) / Allegations of market manipulation abound in the popular press, particularly during the recent financial turmoil. However, many aspects of manipulation are poorly understood. The purpose of this thesis is to enhance our understanding of market manipulation by providing empirical evidence on the prevalence, effects and determinants of closing price manipulation. The first issue examined in this thesis is the prevalence of closing price manipulation. This thesis uses a hand collected sample of prosecuted closing price manipulation cases from US and Canadian stock exchanges, and methods that explicitly model the incomplete and non-random detection of manipulation. The results suggest that approximately 1.1% of closing prices are manipulated. For every prosecuted closing price manipulation there are approximately 300 instances of manipulation that remain undetected or not prosecuted. Closing price manipulation is more prevalent on larger exchanges than smaller ones, but is detected at a higher rate on small exchanges. Second, this thesis examines the effects of closing price manipulation. Using a sample of prosecution cases, this thesis finds that closing price manipulation is associated with large day-end returns, subsequent return reversals, increases in day-end spreads and increases in day-end trading activity. At the broader level of market quality, this thesis provides evidence from a laboratory experiment that closing price manipulation decreases both price accuracy and liquidity. Even the mere possibility of manipulation decreases liquidity and increases trading costs. The third issue analysed in this thesis is the determinants of closing price manipulation and its detection. Estimating an empirical model of manipulation and detection, this thesis finds that the likelihood of closing price manipulation is increased by smaller regulatory budgets, greater information asymmetry, mid to low levels of liquidity, month-end days and lower volatility. Manipulation is more likely to be detected when regulatory budgets are larger and when the manipulation causes abnormal trading characteristics. Further evidence from laboratory experiments suggests that regulation helps restore price accuracy by deterring some manipulation and making remaining manipulation less aggressive. These experiments also show that regulation has an insignificant effect on liquidity because participants in regulated markets still face relatively high uncertainty about the presence of manipulators. This thesis also examines how closing price manipulation is conducted and how other market participants respond. It develops an index of closing price manipulation that can be used to study manipulation in markets or time periods in which prosecution data are not available. It also provides a tool for the detection of manipulation, which can be used by regulators in automated surveillance systems. Finally, this thesis has implications for economic efficiency and policy. Closing price manipulation is significantly more prevalent than the number of prosecution cases suggests. Further, it harms both pricing accuracy and liquidity and therefore undermines economic efficiency. The prevalence of closing price manipulation can be reduced by increasing regulatory budgets, improving the accuracy of market surveillance systems by using the detection tools developed in this thesis, structuring markets such that participants are better able to identify manipulation, and implementing closing mechanisms that are difficult to manipulate. These actions would enhance market integrity and economic efficiency.

Doctor of Philosophy (PhD) / Allegations of market manipulation abound in the popular press, particularly during the recent financial turmoil. However, many aspects of manipulation are poorly understood. The purpose of this thesis is to enhance our understanding of market manipulation by providing empirical evidence on the prevalence, effects and determinants of closing price manipulation. The first issue examined in this thesis is the prevalence of closing price manipulation. This thesis uses a hand collected sample of prosecuted closing price manipulation cases from US and Canadian stock exchanges, and methods that explicitly model the incomplete and non-random detection of manipulation. The results suggest that approximately 1.1% of closing prices are manipulated. For every prosecuted closing price manipulation there are approximately 300 instances of manipulation that remain undetected or not prosecuted. Closing price manipulation is more prevalent on larger exchanges than smaller ones, but is detected at a higher rate on small exchanges. Second, this thesis examines the effects of closing price manipulation. Using a sample of prosecution cases, this thesis finds that closing price manipulation is associated with large day-end returns, subsequent return reversals, increases in day-end spreads and increases in day-end trading activity. At the broader level of market quality, this thesis provides evidence from a laboratory experiment that closing price manipulation decreases both price accuracy and liquidity. Even the mere possibility of manipulation decreases liquidity and increases trading costs. The third issue analysed in this thesis is the determinants of closing price manipulation and its detection. Estimating an empirical model of manipulation and detection, this thesis finds that the likelihood of closing price manipulation is increased by smaller regulatory budgets, greater information asymmetry, mid to low levels of liquidity, month-end days and lower volatility. Manipulation is more likely to be detected when regulatory budgets are larger and when the manipulation causes abnormal trading characteristics. Further evidence from laboratory experiments suggests that regulation helps restore price accuracy by deterring some manipulation and making remaining manipulation less aggressive. These experiments also show that regulation has an insignificant effect on liquidity because participants in regulated markets still face relatively high uncertainty about the presence of manipulators. This thesis also examines how closing price manipulation is conducted and how other market participants respond. It develops an index of closing price manipulation that can be used to study manipulation in markets or time periods in which prosecution data are not available. It also provides a tool for the detection of manipulation, which can be used by regulators in automated surveillance systems. Finally, this thesis has implications for economic efficiency and policy. Closing price manipulation is significantly more prevalent than the number of prosecution cases suggests. Further, it harms both pricing accuracy and liquidity and therefore undermines economic efficiency. The prevalence of closing price manipulation can be reduced by increasing regulatory budgets, improving the accuracy of market surveillance systems by using the detection tools developed in this thesis, structuring markets such that participants are better able to identify manipulation, and implementing closing mechanisms that are difficult to manipulate. These actions would enhance market integrity and economic efficiency.

By using neural network, the relationship between the low price and the closing price in IMKB is developed by a fuzzy membership function.

Fastighetsmarknaden i Sverige har under en lång tid bestått av en uppåtstigande marknad med låg ränta, denna trend bröts under 2023 där räntorna började höjas och marknaden började vända. Vid en tid där priset på bostäder inte självklart stiger blir det intressant att undersöka vilka faktorer som påverkar priset på bostäder. Priset på en bostad är en komplex uppsättning av flera faktorer såsom skick, läge och marknad. Inom beteendeekonomin har det uppkommit fler idéer om vad som kan påverka priset på en bostad. Heuristik, eller mentala genvägar, har också en effekt vid värdering och köp av bostad. En typ av heuristik är förankringseffekten som denna studie hanterar. Studien undersöker om det finns en ankare i form av utgångspris som påverkar slutpriset och om styrräntan har en roll i hur stark förankringseffekten är. Analysen har gjorts genom en kvantitativ metod med en statistisk analys där tester genomförts för att se skillnaden i utgångspris och slutpris under år 2021 och år 2023 där skillnaden är styrräntan. Datan om utgångspris och slutpris har samlats in via hemsidan Hemnet och det geografiska området är Slottstaden i Malmö. Slutsatsen är att det finns en signifikant skillnad mellan tidsperioderna som kan förklaras av förankringseffekten där styrräntan påverkar dess inverkan. / The real estate market in Sweden has for a long time consisted of a rising market with low interest rates, this trend was broken in 2023 where interest rates began to rise and the market began to turn. At a time when the price of housing does not obviously rise, it becomes interesting to investigate which factors affect the price of housing. The price of a home is a complex set of several factors such as condition, location and market. Within behavioral economics, more ideas have emerged about what can affect the price of a home. Heuristics, or mental shortcuts, also have an effect when evaluating and buying a home. One type of heuristic is the anchoring effect that this study addresses. The study examines whether there is an anchor in the form of starting price that affects the final price and whether the policy rate has a role in how strong the anchoring effect is. The analysis has been done through a quantitative method with a statistical analysis where you test the difference in starting price and closing price in the year 2021 and the year 2023 where the difference is the policy rate. Data on starting price and closing price have been collected via the website Hemnet and the geographical area is the Slottsstaden in Malmö. The conclusion is that there is a significant difference between the time periods which can be explained by the anchoring effect where the policy rate affects its impact.