In particular, Prof Aitken concentrates on examining significant price changes in the last 15 minutes of trading for stock belonging to each market's common index (notwithstanding the fact those indices vary significantly in scale and composition). The draft paper claimed those "significant changes in the last 15 minutes", as being necessarily illustrative of "window dressing". (Window dressing is an illegal activity where large holders, typically fund managers, deliberately increase the price of a security at period end to improve the apparent performance of the fund.)
ASX believes that Prof Aitken's paper actually measures the volatility of the stock in each exchange's index, rather than measuring "window dressing" as claimed earlier, or "ramping" as his revised paper describes it. (Belatedly, the author himself concedes the limitations of using "one specific proxy" to measure efficiency and integrity). Pricing pressures may well be intense at the end of the day for reasons unrelated to manipulation - for example a desire to complete a strategic transaction, or to establish a position ahead of the release of overseas data at night. In many cases, it may be simply no more than an institutional client's wish to achieve the closing price, or as close as possible to it. Recent developments such as index arbitraging or the smoothing of quarter-closing trading activity have gone some way to addressing any concerns of excessive volatility.
It is clearly important to distinguish between such volatility - which is a normal feature of capital markets operation - and that of "window dressing" or "ramping", which are terms for market manipulation, are illegal and the detection or prevention of which is actively pursued by ASX in conjunction with the market regulator ASIC. On the face of it, Professor Aitken's paper appears to acknowledge no such distinction.
