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Unusual Market Activity Announcements: A Study of Price Manipulation on the Indonesian Stock Exchange

Gadjah Mada International Journal of Business (GamaIJB) · Vol. 12 No. 2 (2010) · pp. 159–187

DOI
10.22146/gamaijb.5511
ISSN
2338-7238, 1411-1128
Published
2010-05-12
Publisher
Master in Management, Faculty of Economics and Business, Universitas Gadjah Mada
Language
eng

Abstract

We investigate stocks involved in the Unusual Market Activity (UMA) Announcements. The Indonesian Stock Exchange occasionally issues UMA announcements when it suspects that there are unusual price increases (positive UMAs) or price decreases (negative UMAs), as well as unusual increases in trading volumes. We believe that UMA announcements signal a high probability that stocks are being manipulated. We find no differences in fundamentals and trading variables between stocks in the UMA announcements and those not in the UMA announcements. Any stock is vulnerable to market manipulation. Stocks in the UMA announcements do not exhibit reversal patterns, suggesting that price effect is permanent. UMAs seem to convey relevant information, which is most likely in the form of insider type of information.Keywords: emerging market; price manipulation; unusual market activity announcement.

Collaboration network of the authors

4 authors · 6 co-authorship links

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Co-authorOrganisationJoint articles
Eduardus TandelilinUniversitas Gadjah Mada1
Jogiyanto HartonoUniversitas Gadjah Mada1
Setiyono SetiyonoUniversitas Gadjah Mada1

Affiliations come from OpenAlex; journal OAI-PMH metadata carries none. Authors without an OpenAlex ID are matched by name, which can merge or split people.

Metadata source: OAI-PMH (metadata jurnal) https://journal.ugm.ac.id/gamaijb/oai, first harvested 28 Okt 2026, last seen 1 Nov 2026.
Original metadata (oai_dc) 
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	<dc:title xml:lang="en-US">Unusual Market Activity Announcements: A Study of Price Manipulation on the Indonesian Stock Exchange</dc:title>
	<dc:creator>Hanafi, Mamduh M.</dc:creator>
	<dc:description xml:lang="en-US">We investigate stocks involved in the Unusual Market Activity (UMA) Announcements. The Indonesian Stock Exchange occasionally issues UMA announcements when it suspects that there are unusual price increases (positive UMAs) or price decreases (negative UMAs), as well as unusual increases in trading volumes. We believe that UMA announcements signal a high probability that stocks are being manipulated. We find no differences in fundamentals and trading variables between stocks in the UMA announcements and those not in the UMA announcements. Any stock is vulnerable to market manipulation. Stocks in the UMA announcements do not exhibit reversal patterns, suggesting that price effect is permanent. UMAs seem to convey relevant information, which is most likely in the form of insider type of information.Keywords: emerging market; price manipulation; unusual market activity announcement.</dc:description>
	<dc:publisher xml:lang="en-US">Master in Management, Faculty of Economics and Business, Universitas Gadjah Mada</dc:publisher>
	<dc:date>2010-05-12</dc:date>
	<dc:type>info:eu-repo/semantics/article</dc:type>
	<dc:type>info:eu-repo/semantics/publishedVersion</dc:type>
	<dc:type xml:lang="en-US">Peer-reviewed Article</dc:type>
	<dc:format>application/pdf</dc:format>
	<dc:identifier>https://journal.ugm.ac.id/gamaijb/article/view/5511</dc:identifier>
	<dc:identifier>10.22146/gamaijb.5511</dc:identifier>
	<dc:source xml:lang="en-US">Gadjah Mada International Journal of Business; Vol 12, No 2 (2010): May - August; 159 - 187</dc:source>
	<dc:source>2338-7238</dc:source>
	<dc:source>1411-1128</dc:source>
	<dc:language>eng</dc:language>
	<dc:relation>https://journal.ugm.ac.id/gamaijb/article/view/5511/4483</dc:relation>
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