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International Journal of Advanced Computer Science and Applications(IJACSA), Volume 14 Issue 3, 2023.
Abstract: Continuous rising of economy and investors’ demand for funds give a window to easier market manipulation which includes abusing of one’s power to raise or lower the price of securities, colluding to affect the price or volume of securities transactions at a pre-agreed time, price and method. In the study, the article aimed to create a sound investment environment, detect abnormal behaviors in stocks, and avoid risks of intentional manipulation. This study is to identify market manipulation and summarize the accuracy of GARCH model analysis with the help of fluctuation forecast trend chart and construction of GARCH model which calculates the sum of the GARCH-α parameter and the GARCH-β parameter of turnover rate, logarithmic return rate, and the trading volume fluctuation. Through the study of this paper, it is found that the stock market manipulation has the following characteristics: the participants are complex and diverse, the manipulation is opaque and has serious consequences, and the stock market manipulation involves a wide range of aspects.
Wen-Tsao Pan, Wen-Bin Qian, Ying He, Zhi-Xiu Wang and Wei Liu, “Research on Identifying Stock Manipulation using GARCH Model” International Journal of Advanced Computer Science and Applications(IJACSA), 14(3), 2023. http://dx.doi.org/10.14569/IJACSA.2023.01403109
@article{Pan2023,
title = {Research on Identifying Stock Manipulation using GARCH Model},
journal = {International Journal of Advanced Computer Science and Applications},
doi = {10.14569/IJACSA.2023.01403109},
url = {http://dx.doi.org/10.14569/IJACSA.2023.01403109},
year = {2023},
publisher = {The Science and Information Organization},
volume = {14},
number = {3},
author = {Wen-Tsao Pan and Wen-Bin Qian and Ying He and Zhi-Xiu Wang and Wei Liu}
}
Copyright Statement: This is an open access article licensed under a Creative Commons Attribution 4.0 International License, which permits unrestricted use, distribution, and reproduction in any medium, even commercially as long as the original work is properly cited.