Use of extended cox models in the analysis of recurrent events: a study on the relationship between trade-based manipulation and financial ratios

This study focuses on the financial ratios, which can be reached easily by investors with limited resources, as an indicator for trade base manipulation. In the study, financial table analysis and survival analysis are employed in order to identify characteristics of the companies' stocks, which are exposed to trade based manipulation. In this study, Andersen-Gill, Wei-Lin-Weissfeld and Prentice-Williams-Peterson models, which adopt Cox proportional hazard model framework and generally named as extended Cox modes are used in terms of both statistical significance and identifiability of the manipulative actions' structural characteristics that took place in the stock market. It is concluded that, any increase in Total Debt - Assets Ratio and Market Value - Assets Ratio can increase the risk of occurrence of trade based manipulation in stock markets. It is also found that, compared to the other extended Cox models, which are employed in the thesis, Prentice-Williams-Peterson Total Time model is the most suitable model in studying trade based manipulation which can be identified as recurrent events.