بررسي عوامل تأثيرگذار بر دست كاري قيمت در بورس اوراق بهادار تهران

A study on Factors influencing the price manipulation in Tehran ʹs stock market

Certainly, knowing what factors are influencing Price manipulation is of great importance having information transparency, fair pricing of capital assets and promoting the market efficiency. In this article, first, the abnormal Returns- significance difference between actual and risk-based adjusted expected returns- by using an autoregressive test, for all 130 accepted firms in Tehranʹs stock market during 2000-2004 are calculated, which seemed to be manipulated, since they had been experienced great fluctuations in their stock prices. For any firm, if changes in its shareʹs prices is not at random and/or its stock prices is auto correlated with the past ones, we can come to this conclusion that the firm is under a price manipulation. In the next stage, we have developed a binary logic regression model for predicting the firmsʹ price manipulation based on the four factors, namely, the information transparency, the liquidity of the shares, the size (capital) of the firm and the P/E ratio. The dataset for fitting the model has been collected from one year before the firm being faced with price manipulation. Finally, the model efficiency for predicting Price manipulation in Tehranʹs stock market is validated by using appropriate statistical tests such as, The Wald, Likelihood, and the Wlikʹs Lambda tests.