An Empirical Analysis of Stock Price Manipulation in the Expiration Days of Futures and Options

Yang, Cheol-Won

doi:2018.47.5.709

Korean J Financ Stud > Volume 47(5); 2018 > Article

Korean Journal of Financial Studies 2018;47(5):709-739.
DOI: https://doi.org/10.26845/KJFS.2018.10.47.5.709 Published online October 31, 2018.

An Empirical Analysis of Stock Price Manipulation in the Expiration Days of Futures and Options

Cheol-Won Yang

선물·옵션 만기일의 주가조작 행위에 대한 실증분석

양철원

단국대학교

Abstract

This paper examines the prediction of the Kumar and Seppi (1992) model for stock price manipulation, which is deemed a cause of the expiration-day effect, in Korea. Kumar and Seppi (1992) show that investors with long (short) position in futures have an incentive of stock price manipulation to buy (sell) on spot. In this study, using the data of simultaneously held spot and futures accounts of investors in Korea, we analyze whether futures investors manipulate the closing prices of underlying stocks on the expiration day. The empirical implications are as follows: First, we find that investors with larger long (short) positions in futures submit a higher (lower)-priced limit purchase (sale) orders, consistent with Kumar and Seppi (1992)’s prediction. Second, however, the price impact of these orders is not statistically significant. In summary, we conclude attempts to manipulate closing stock prices at expiration do not yield material impacts. This might evidence that the Korea stock market is sufficiently efficient to neutralize stock price manipulation on expiration dates.

Key Words: 만기일 효과,KOSPI200 지수,주가조작,연계시세조종,미결제약정 수량,Expiration-Day Effect,KOSPI200,Stock Price Manipulation,Cross-Market Manipulation,Open Interest