Trade-Based Manipulation: The Case of Turkeyb

Abstract

In this study one of the manipulation types in the capital market, namely the trade-based manipulation was investigated. Data set for the study was gathered from 273 manipulation cases which were examined with reference to the companies detected by SPK (Capital Markets Board) to have manipulated the markets and quoted in Borsa İstanbul (BIST) in the period between 2001-2014. For the effect of manipulations by the companies, variables of daily return, trading volume, volatility and stock turnover rate were used. The process was classified as pre-manipulation period, manipulation period and post manipulation period. As a result of the study, according to the multiple logistic regression, all variables were found to be statistically significant; moreover, it was also found that daily return and volati

Keywords

• Trade-based manipulation, Capital markets, Multiple logistic regression

İşlem Bazlı Manipülasyon: Türkiye Örneği

Abstract

Bu çalışmada sermaye piyasası üzerinde gerçekleştirilen manipülasyon türlerinden olan işlem bazlı manipülasyon incelenmiştir. Çalışmanın veri seti 2001-2014 dönemi arasında Borsa Istanbul’da (BIST) kota olan ve SPK tarafından manipülasyon gerçekleştirdiği tespit edilen şirketlerden hareketle 273 manipülasyon vakası ele alınmıştır. Şirketler tarafından gerçekleştirilen manipülasyonun etkisine yönelik günlük bazda; getiri, işlem hacmi, volatilite ve pay senedi devir hızı değişkenleri kullanılmıştır. Sınıflandırma işlemi; manipülasyon öncesi, manipülasyon dönemi ve manipülasyon sonrası dönem dikkate alınarak gerçekleştirilmiştir. Çoklu lojistik regresyon analizi sonucunda değişkenlerin tamamının istatistiksel açıdan anlamlı olduğu tespit edilmiş ayrıca günlük getiri ve volatilite değişkenlerinin manipülasyon üzerinde daha çok etkiye sahip olduğu tespit edilmiştir

Keywords

• Işlem bazlı manipülasyon, Sermaye piyasası, Çoklu lojistik regresyon

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