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

Eyüp Kadioglu (UGent) and Michael Frömmel (UGent)
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Abstract
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.
Keywords
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

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MLA
Kadioglu, Eyüp, and Michael Frömmel. “Manipulation in the Bond Market and the Role of Investment Funds : Evidence from an Emerging Market.” INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, vol. 79, 2022, doi:10.1016/j.irfa.2021.102000.
APA
Kadioglu, E., & Frömmel, M. (2022). Manipulation in the bond market and the role of investment funds : evidence from an emerging market. INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, 79. https://doi.org/10.1016/j.irfa.2021.102000
Chicago author-date
Kadioglu, Eyüp, and Michael Frömmel. 2022. “Manipulation in the Bond Market and the Role of Investment Funds : Evidence from an Emerging Market.” INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS 79. https://doi.org/10.1016/j.irfa.2021.102000.
Chicago author-date (all authors)
Kadioglu, Eyüp, and Michael Frömmel. 2022. “Manipulation in the Bond Market and the Role of Investment Funds : Evidence from an Emerging Market.” INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS 79. doi:10.1016/j.irfa.2021.102000.
Vancouver
1.
Kadioglu E, Frömmel M. Manipulation in the bond market and the role of investment funds : evidence from an emerging market. INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS. 2022;79.
IEEE
[1]
E. Kadioglu and M. Frömmel, “Manipulation in the bond market and the role of investment funds : evidence from an emerging market,” INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, vol. 79, 2022.
@article{8729020,
  abstract     = {{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.}},
  articleno    = {{102000}},
  author       = {{Kadioglu, Eyüp and Frömmel, Michael}},
  issn         = {{1057-5219}},
  journal      = {{INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS}},
  keywords     = {{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}},
  language     = {{eng}},
  pages        = {{15}},
  title        = {{Manipulation in the bond market and the role of investment funds : evidence from an emerging market}},
  url          = {{http://doi.org/10.1016/j.irfa.2021.102000}},
  volume       = {{79}},
  year         = {{2022}},
}

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