Abstract
We examine the presence and the severity of closing price manipulation across two regulatory shifts in the close price determination mechanism in the Athens stock exchange. First, we assess the transition from a value-weighted average price (VWAP) method to a plain-vanilla closing call auction method (CCAM). Second, we examine the effectiveness of additional features of CCAMs in deterring closing price manipulation. We use tick level data with full investor details for a group of highly traded stocks. Our results suggest that the CCAM managed to reduce - but not eliminate - closing price manipulation. CCAMs with additional anti-manipulation features are not effective in eliminating closing price manipulation either. Manipulation is dynamic and investors quickly adapt to new circumstances and opportunities; post-CCAM implementation sell-based closing price manipulation has increased, while part of the manipulation activity has shifted to the reference price formation.