Detecting the risk of cross-product manipulation in the EUREX fixed income futures market

IF 5.4 2区经济学 Q1 BUSINESS, FINANCE

Journal of International Financial Markets Institutions & Money Pub Date : 2024-03-28 DOI:10.1016/j.intfin.2024.101984

Alexis Stenfors , Kaveesha Dilshani , Andy Guo , Peter Mere

引用次数: 0

Abstract

Cross-product manipulation involves manipulating one financial product to profit from the subsequent reaction in a different but related product. In this paper, we develop a simple model that researchers and regulators can use to scan for the susceptibility of two markets to such misconduct. We also test the model empirically on a set of government bond futures contracts using a complete EUREX ultra-high-frequency dataset. Our findings show that cross-product manipulation is feasible across bond futures with different underlying maturities, issuers and contract expiry dates. The results suggest that cross-product manipulation might be widespread despite an increasing crackdown by regulators and prosecutors.

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检测 EUREX 固定收益期货市场的跨产品操纵风险

跨产品操纵是指操纵一种金融产品，从另一种相关产品的后续反应中获利。在本文中，我们建立了一个简单的模型，研究人员和监管机构可利用该模型扫描两个市场对此类不当行为的易感性。我们还利用完整的 EUREX 超高频数据集，在一组政府债券期货合约上对该模型进行了实证测试。我们的研究结果表明，跨产品操纵在不同标的期限、发行人和合约到期日的债券期货中是可行的。结果表明，尽管监管机构和检察官加大了打击力度，但跨产品操纵仍可能普遍存在。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of International Financial Markets Institutions & Money Multiple-

CiteScore

6.60

自引率

10.00%

发文量

142

期刊介绍： International trade, financing and investments, and the related cash and credit transactions, have grown at an extremely rapid pace in recent years. The international monetary system has continued to evolve to accommodate the need for foreign-currency denominated transactions and in the process has provided opportunities for its ongoing observation and study. The purpose of the Journal of International Financial Markets, Institutions & Money is to publish rigorous, original articles dealing with the international aspects of financial markets, institutions and money. Theoretical/conceptual and empirical papers providing meaningful insights into the subject areas will be considered. The following topic areas, although not exhaustive, are representative of the coverage in this Journal. • International financial markets • International securities markets • Foreign exchange markets • Eurocurrency markets • International syndications • Term structures of Eurocurrency rates • Determination of exchange rates • Information, speculation and parity • Forward rates and swaps • International payment mechanisms • International commercial banking; • International investment banking • Central bank intervention • International monetary systems • Balance of payments.