Volatility impacts and spillover effects of opening and closing price manipulation in sustainable financial markets

We examine the risk of marking-the-open and marking-the-close in interrelated, sustainable financial markets. We employ range-based realized volatility to inductively construct potential measures of price manipulation at market open and close, investigating their potential volatility impacts and transmission dynamics across the NASDAQ clean energy index, the ARCA technology index, and the carbon emissions futures market (CEFM). We employ an ADCC-GARCH(1,1)-X framework, incorporating the realized volatility measures of marking-the-open and marking-the-close as exogenous covariates. Our findings show that both marking-the-open and marking-the-close can significantly raise asymmetric volatility within the originating market. Furthermore, we found that price manipulation in NASDAQ can transmit asymmetric volatility to ARCA and vice versa. Conversely, the CEFM remains largely isolated under normal market conditions, neither transmitting nor receiving manipulation-induced volatility to or from NASDAQ and ARCA. However, during a global pandemic such as COVID-19, the CEFM can receive significant volatility transmission from both markets.