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.

Zugl.: Tübingen, Univ., Diss., 2007/2008

Freie Univ., Diss.--Berlin, 2004. / Literaturverz. S. I - XLVIII.

Thesis (M.Ost.)--Unitec New Zealand, 2008. / Includes bibliographical references (leaves 119-123).

Thesis (M.Ost.)--Unitec New Zealand, 2009. / Includes bibliographical references (leaves 24-28).

Thesis (Ph.D.) - University of St Andrews, April 2008.

Thesis (Ph.D.) - University of Queensland, 2004. / Includes bibliography.

Thesis (Ph.D.) - University of St Andrews, June 2009.

Thèse (Ph.D.)--Université Laval, 2004. / Titre de l'écran-titre (visionné le 29 novembre 2004). Bibliogr.

We present the design, analysis and construction of a biologicallyinspired tactile sensor. The sensor can measure normal and lateralforces, conform to the surfaces with which it comes in contact andincrease the friction of the surface for a good grasp.The sensor is built using a simple process and the applied forcesare read using standard electronics. These features make thesensors ideal for mass production.We are motivated to build tactile sensors that are useful forrobotic manipulation given that the current ones do not have thefeatures that we consider necessary. The sensors presented in thispaper have been designed to deal with these issues. They have beendesigned and implemented in the fingers of the humanoid robotObrero.