Intra-Day Stock Returns and Close-End Price Manipulation In the Istanbul Stock Exchange

In this paper, we examine the behavior of the intra-daily stock returns and close-end stock price manipulation in the Istanbul Stock Exchange (ISE). Understanding the price behavior in a given trading day could help investors when they are making their buy and sell decisions. Studies of intra-daily returns have found that stock prices systematically rise near the closing minute and the last trade is more often initiated by a buyer. It is likely that a trader in the ISE with a big net position in a given day will want to enhance his performance by manipulating the closing price, this trader will try to improve his position by placing the last buy order. The possibility to artificially influence stock prices in the ISE is an important issue to everybody who is involved in stock trading securities exchanges, investors, brokers, the largest share holders etc. In order to test for the closing price manipulation by the traders in the ISE, we used a standard OLS regression model, which looks for the effects of the size of the daily traders net position in twenty-three stocks selected from the ISE National-30 index companies. If a trader acquires a large net position in one of these stocks during the trading day, it is possible that he tries to influence the closing price of the stock. We find that, close end price manipulation through big buyers and big sellers is possible in the ISE.