| Summary: | 博士 === 國立高雄第一科技大學 === 管理研究所 === 97 === The purposes of this study are to examine the impact on market for the behavior of stock price manipulation. How the illegal behaviors are affect the market liquidity, volatility and efficiency.
The results show that the behavior of stock price manipulation increases returns, volume and volatility, but destroy the market liquidity and efficiency. Those harmful effects still remain in post-manipulation period. In addition, the characteristics of manipulated firm are smaller size, higher turnover, more volatility and less earning. Manipulated stocks display short-term price continuation, as well as long-term price reversal during the manipulation period. Dividing the manipulated stocks into pump-and-dump and stabilization sub-samples, the results indicate that market quality of pump-and-dump sub-sample is worse then stabilization sub-sample. Nonetheless, dividing the manipulated stocks into guilty and non-guilty sub-samples, the results show that there is no apparent difference for stock manipulation to damage market quality.
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