Micro-Foundation Investigation of Price Manipulation in Indonesian Capital Market. Issue 2 (26th January 2020)

• Record Type: Journal Article
• Authors: Aaron, Aurelius; Koesrindartoto, Deddy P.; Takashima, Ryuta
• Is Part Of: Emerging markets finance & trade. Volume 56:Issue 2(2020)
• Page Start: 245
• Page End: 259
• Publication Date: 2020-01-26
• Subjects: emerging market -- market governance -- price manipulation -- stockbroker's behavior -- trade-based manipulation; G14 -- G15 -- G24; Balkan Peninsula -- Commerce -- Periodicals; Balkan Peninsula -- Foreign economic relations -- Periodicals; Europe, Central -- Commerce -- Periodicals; Europe, Central -- Foreign economic relations -- Periodicals; Europe, Eastern -- Commerce -- Periodicals; Europe, Eastern -- Foreign economic relations -- Periodicals; Turkey -- Commerce -- Periodicals; Turkey -- Foreign economic relations -- Periodicals; Asia -- Commerce -- Periodicals; Asia -- Foreign economic relations -- Periodicals; Eurasia -- Commerce -- Periodicals; Eurasia -- Foreign economic relations -- Periodicals; 382.05
• DOI: 10.1080/1540496X.2018.1497972
• Languages: English
• ISSNs: 1540-496X

Abstract

ABSTRACT: An analysis of all intraday trades in the Jakarta Stock Exchange during 2003–2004 indicates that more than half of them are "manipulated" by principal stockbrokers. Consequently, they can earn between 59% and 92% more annually than intermediary stockbrokers, which depend heavily on their investment patterns as well as firm's characteristics. Specifically, our regression results suggest that with increases in their degree of principalness (PRIN), stockbrokers with a greater trade imbalance earn more at the expense of outside investors, even though this effect diminishes as PRIN increases. Moreover, firms that suffer the most from stockbrokers' inappropriate behavior have large market capitalization or high stock liquidity.