Data for: Price-manipulation-induced volatility and its contagion among inter-related financial markets

This dataset is made up of three daily time-series prices from the the NASDAQ clean energy financial market, the ARCA technology stock index and the carbon emission futures market. The data was used to estimate DCC-GARCH models, premised on three univariate GARCH(1,1)-X models for three financial assets, including ARCA technology stock return, NASDAQ clean energy stock return, and carbon emission futures price return. The framework was then used to investigate the impacts of shocks arising from two price manipulation strategies, namely, marking the close and marking the open, on the conditional variance in the market where the price manipulations originate. Secondly, the paper examined realized volatility transmissions caused by the two price manipulations from the market of origin into other inter-related markets.