Manipulation in the bond market and the role of investment funds: Evidence from an emerging market

被引：2
|
作者：
Kadioglu, Eyup [1 ,2 ]
Frommel, Michael [1 ]
机构：
[1] Univ Ghent, Dept Econ, Ghent, Belgium
[2] Capital Markets Board Turkey, Investor Compensat Ctr, Istanbul, Turkey
来源：
INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS | 2022年 / 79卷
关键词：
Bond market manipulation; Benchmarking; Investment fund; Market efficiency; Consumer protection; Trade-based manipulation; STOCK-PRICE MANIPULATION; BEHAVIOR; IMPACT; INTERMEDIARIES; VOLATILITY; EXCHANGE; RETURNS; VOLUME; DEPTH; TAPE;
D O I：
10.1016/j.irfa.2021.102000
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
The aim of our research is to test for manipulation in the bond market, and to establish whether the practice of benchmarking investment funds encourages such interference. We analyse end-of-day and intraday trading data from the Borsa Istanbul Bond Securities Market between 2014 and 2018 along with specific data from investment fund sector over the same period. Our results indicate that treasury bonds have most likely been manipulated at the months' end by trading activities of investment funds. Price and volume rose significantly in the run up to the end of the month before falling off in the days following.
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页数：15
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