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http://hdl.handle.net/10419/57748
  

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dc.contributor.authorMerrick, John J.en_US
dc.contributor.authorNaik, Narayan Y.en_US
dc.contributor.authorYadav, Pradeep K.en_US
dc.date.accessioned2012-04-25en_US
dc.date.accessioned2012-05-02T15:45:32Z-
dc.date.available2012-05-02T15:45:32Z-
dc.date.issued2004en_US
dc.identifier.urihttp://hdl.handle.net/10419/57748-
dc.description.abstractThis 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.en_US
dc.language.isoengen_US
dc.publisherCentre for Financial Research Cologneen_US
dc.relation.ispartofseriesCFR Working Paper 04-07en_US
dc.subject.jelG10en_US
dc.subject.jelG20en_US
dc.subject.jelG24en_US
dc.subject.ddc330en_US
dc.subject.keywordPrice manipulationen_US
dc.subject.keywordFutures marketsen_US
dc.subject.keywordSqueezeen_US
dc.titleStrategic trading behavior and price distortion in a manipulated market: Anatomy of a squeezeen_US
dc.typeWorking Paperen_US
dc.identifier.ppn699890209en_US
dc.description.abstracttransIn diesem Papier wird das Handelsverhalten großer Marktteilnehmer während des Versuchs einer künstlich erzeugten Marktknappheit untersucht. Wir betrachten den in London gehandelten Bond-Future Kontrakt. Unter Verwendung der Cash- und Future-Transaktionen von Händlern und Kunden untersuchen wir deren strategisches Handelsverhalten, Preisverzerrungen und das Lernen von Marktteilnehmern während der Marktmanipulation. Wir zeigen, dass die deutlichen Unterschiede in den Strafzahlungen für Lieferausfälle zwischen dem Cash- und Futures-Markt eine Marktmanipulation begünstigen. Wir schlagen verschiedene regulatorische Maßnahmen vor, mit denen solche Marktmanipulationen verhindert werden können.en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.identifier.repecRePEc:zbw:cfrwps:0407-
Appears in Collections:CFR Working Papers, Centre for Financial Research (CFR), Universität Köln

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