文档介绍：Trading in Phantom Markets: Price Manipulation in an
Emerging Stock Market∗
Asim Ijaz Khwaja, Atif Mian
November 2003
Abstract
What are the obstacles faced by emerging equity markets? This paper uses a unique data
set from the main stock market in Pakistan to identify one such obstacle: price manipulation.
We first find that brokers who trade on their own behalf earn rates of return that are 50-
90 percentage points greater than, and at the expense of, outside investors trading through
intermediary brokers. We then test for and pelling evidence for a specifictrade-based
“pump and dump” price manipulation scheme: When prices are low, colluding brokers trade
amongst themselves to artificially raise prices and attract positive-feedback traders. Once prices
have risen, the former exit leaving the latter to suffer the ensuing price fall. Moreover, we show
that neither market timing nor liquidity provision offer sufficient explanations for the profitability
differential. The manipulation rents extracted by brokers from such schemes therefore suggest a
political economy explanation for why reforms aimed at equity market development are actively
resisted by brokers and present micro-level evidence for how weak institutions can hamper
financial development.
∗Kennedy School of Government, Harvard University; and Graduate School of Business, University of Chicago.
Email: ******@, ******@. We are extremely grateful to the Securities and Exchange
Commission Pakistan (SECP) for providing us the data used in this paper, and to Mr. Khalid Mirza and Mr. Haroon
Sharif for clarifying questions. The results in this paper do not necessarily represent the views of the SECP. We also
thank Ulf Axelson, Nick Barberis, Marriane Bertrand, Gene Fama, Francisco Gomes, Pete Kyle, Raja Kali, Steve
Kaplan, Owen Lamont, Tobi Moskowitz, Raghu Rajan, Jeremy Stein and seminar participants at Chicago GSB, LSE,
MIT, LUMS, Michigan, NEUDC confe