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[연구]Microstructure-based manipulation: Strategic behavior and performance of spoofing traders
2013.05.01 Views 981 경영학연구분석센터
Journal of Financial Markets
Volume 16, Issue 2, May 2013, Pages 227–252
Eun Jung Lee (a), Kyong Shik Eom (b), (c), Kyung Suh Park (d),
a Department of Finance, Hanyang University, Sa 3-dong, Sangrok-gu, Ansan-si, Gyeonggi-do, Republic of Korea
b Department of Business Administration, University of Seoul, Siripdae-gil 13, Dongdaemun-gu, Seoul, Republic of Korea
c Department of Economics, University of California at Berkeley, 508-1 Evans Hall # 3880, Berkeley, CA 94720-3880, USA
d Business School, Korea University, 5-1 Anam-dong, Sungbuk-gu, Seoul, Republic of Korea
http://www.sciencedirect.com/science/article/pii/S1386418112000377
Abstract
We examine how investors strategically spoof the stock market by placing orders with little chance of being executed, but which mislead other traders into thinking there is an imbalance in the order book. Using the complete intraday order and trade data of the Korea Exchange (KRX) in a custom data set identifying individual accounts, we find that investors strategically placed spoofing orders which, given the KRX's order-disclosure rule at the time, created the impression of a substantial order book imbalance, with the intent to manipulate subsequent prices. This manipulation, which made use of specific features of the market microstructure, differs from previously studied forms of manipulation based on information or transactions. Roughly half of the spoofing orders were placed in conjunction with day trading. Stocks targeted for manipulation had higher return volatility, lower market capitalization, lower price level, and lower managerial transparency. We also find that spoofing traders achieved substantial extra profits. The frequency of spoofing orders decreased drastically after the KRX altered its order-disclosure rule.
Keywords
Spoofing order; Microstructure-based manipulation; Pre-trade transparency
Volume 16, Issue 2, May 2013, Pages 227–252
Eun Jung Lee (a), Kyong Shik Eom (b), (c), Kyung Suh Park (d),
a Department of Finance, Hanyang University, Sa 3-dong, Sangrok-gu, Ansan-si, Gyeonggi-do, Republic of Korea
b Department of Business Administration, University of Seoul, Siripdae-gil 13, Dongdaemun-gu, Seoul, Republic of Korea
c Department of Economics, University of California at Berkeley, 508-1 Evans Hall # 3880, Berkeley, CA 94720-3880, USA
d Business School, Korea University, 5-1 Anam-dong, Sungbuk-gu, Seoul, Republic of Korea
http://www.sciencedirect.com/science/article/pii/S1386418112000377
Abstract
We examine how investors strategically spoof the stock market by placing orders with little chance of being executed, but which mislead other traders into thinking there is an imbalance in the order book. Using the complete intraday order and trade data of the Korea Exchange (KRX) in a custom data set identifying individual accounts, we find that investors strategically placed spoofing orders which, given the KRX's order-disclosure rule at the time, created the impression of a substantial order book imbalance, with the intent to manipulate subsequent prices. This manipulation, which made use of specific features of the market microstructure, differs from previously studied forms of manipulation based on information or transactions. Roughly half of the spoofing orders were placed in conjunction with day trading. Stocks targeted for manipulation had higher return volatility, lower market capitalization, lower price level, and lower managerial transparency. We also find that spoofing traders achieved substantial extra profits. The frequency of spoofing orders decreased drastically after the KRX altered its order-disclosure rule.
Keywords
Spoofing order; Microstructure-based manipulation; Pre-trade transparency