Pricing accuracy, liquidity and trader behavior with closing price manipulation
通过实验市场研究收盘价操纵的社会危害，发现操纵者降低价格准确性和流动性，且操纵可能性本身就会改变交易者行为、减少流动性。
Abstract We study the effects of closing price manipulation in an experimental market to evaluate the social harm caused by manipulation. We find that manipulators, given incentives similar to many actual manipulation cases, decrease price accuracy and liquidity. The mere possibility of manipulation alters market participants’ behavior, leading to reduced liquidity. We find evidence that ordinary traders attempt to profitably counteract manipulation. This study provides examples of the strategies employed by manipulators, illustrates how these strategies change in the presence of detection penalties and assesses the ability of market participants to identify manipulation.