Strategic trading behavior and price distortion in a manipulated market: anatomy of a squeeze

• 成果类型: Article
• 署名作者: Merrick, JJ Jr; Naik, NY; Yadav, PK
• 署名单位: City University of New York (CUNY) System; Baruch College (CUNY); University of London; London Business School; Lancaster University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2004.10.004
• 发表日期: 2005
• 页码: 171-218
• 关键词: Price manipulation; FUTURES MARKETS; squeeze

摘要

This paper investigates an attempted delivery squeeze in a bond futures contract traded in London. Using 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 marked differences in settlement failure penalties 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 dates, and that exchanges mark-to-market their contract specifications more frequently, or consider a cash-settled contract on a basket of bonds. (c) 2004 Published by Elsevier B.V.