@techreport{Merrick2004Strategic,
abstract = {This paper investigates the trading behavior of major market participants during an attempted delivery squeeze in a bond futures contract traded in London. Using the cash and futures trades of dealers and customers, we analyze their strategic trading behavior, price distortion and learning in a market manipulation setting. We argue that the marked differences in the penalties for settlement failures in the cash and futures markets create conditions that favor squeezes. We recommend that regulators require special flagging of forward term repurchase agreements on the key deliverables that span futures contract maturity date, and exchanges remove the conditions that create squeeze incentives in the first place, e.g. mark-to-market their contract specifications much more frequently, or consider redefining the contract to be cash-settled on a basket of traded bonds. --  -- In diesem Papier wird das Handelsverhalten gro\ss{}er Marktteilnehmer w\"{a}hrend des Versuchs einer k\"{u}nstlich erzeugten Marktknappheit untersucht. Wir betrachten den in London gehandelten Bond-Future Kontrakt. Unter Verwendung der Cash- und Future-Transaktionen von H\"{a}ndlern und Kunden untersuchen wir deren strategisches Handelsverhalten, Preisverzerrungen und das Lernen von Marktteilnehmern w\"{a}hrend der Marktmanipulation. Wir zeigen, dass die deutlichen Unterschiede in den Strafzahlungen f\"{u}r Lieferausf\"{a}lle zwischen dem Cash- und Futures-Markt eine Marktmanipulation beg\"{u}nstigen. Wir schlagen verschiedene regulatorische Ma\ss{}nahmen vor, mit denen solche Marktmanipulationen verhindert werden k\"{o}nnen.},
address = {Cologne},
author = {John J. Merrick and Narayan Y. Naik and Pradeep K. Yadav},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {G10; G20; G24; 330; Price manipulation; Futures markets; Squeeze},
language = {eng},
number = {04-07},
publisher = {Centre for Financial Research},
title = {Strategic trading behavior and price distortion in a manipulated market: Anatomy of a squeeze},
type = {CFR Working Paper},
url = {http://hdl.handle.net/10419/57748},
year = {2004}
}
