Unusual Market Activity Announcements: A study of price manipulation on the Indonesian Stock Exchange

Paper Details

Authors:

DOI: 10.22146/gamaijb.5511

Journal: Gadjah Mada International Journal of Business

Year: 2010

Publisher: Gadjah Mada University

Document Type: Article

Open Access: All Open Access; Gold Open Access; Green Open Access

Cited by: 1

Abstract

We investigate stocks involved in the Unusual Market Activity (UMA) Announcements. The Indonesian Stock Exchange occasionally issues UMA announcements when it suspects that there are unusual price increases (positive UMAs) or price decreases (negative UMAs), as well as unusual increases in trading volumes. We believe that UMA announcements signal a high probability that stocks are being manipulated. We find no differences in fundamentals and trading variables between stocks in the UMA announcements and those not in the UMA announcements. Any stock is vulnerable to market manipulation. Stocks in the UMA announcements do not exhibit reversal patterns, suggesting that price effect is permanent. UMAs seem to convey relevant information, which is most likely in the form of insider type of information.

Keywords

Emerging market; Price manipulation; Unusual market activity announcement

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