Closing price manipulation in Borsa Istanbul and the impact of call auction sessions

Abstract

To reduce extraordinary price movement and to ensure more effective price formation at closing time, Borsa Istanbul implemented closing call auction sessions on March 2, 2012. This study tests the effect of closing call auction sessions on closing price manipulation in Borsa Istanbul using 102 shares in various indexes. The analysis focuses on 624 days from November 1, 2006 to May 31, 2012. The results reveal an upward-oriented closing price manipulation prior to the implementation of closing call auction sessions. The data show a significant elimination in closing price manipulation following the implementation of closing call auction sessions.