Designing an Anticipation of Price Manipulation in Tehran,s Stock Market

A multilateral growth and the expansion of capital market as the motor of that growth requires the trust of all shareholders in its efficiency and adequacy in fixing the just price for valuable papers. Quite obviously, a recognition of the behavioral model of the price manipulation and the design of a quantitative model for the prediction of the possibility of price manipulation in Theran,s stock market, would have an effective role in creating transparency of the market, fair pricing of capital assets, raising market efficiency and finally allocating financial resources to the economic domains. The article first examines the theoretical framework of price manipulation and the researches done in the international stock markets in order to identify the causes for manipulation. It then investigates the output of all active corporations in the stock market in the years between 1381-83 and compares them with the theories concerning manipulation, in order to identify those corporations subjected to manipulation. Finally, with the help of a case study of such corporations, the causes for the manipulation were identified and ultimately a binary logistic regression model was designed for anticipating the possible future manipulations. Statistical tests done on the model showed that the possibility of that event based on the designed model also exited.