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| Author: | Merrick , J.J. Naik, Y.N. Yadav, P.K. |
| Title: | Strategic trading behavior and price distortion in a manipulated market: anatomy of a squeeze |
| Journal: | Journal of Financial Economics
2005 : JULY, VOL. 77:1, p. 171-218 |
| Index terms: | Futures markets Stock markets Trading |
| Freeterms: | Price manipulation |
| Language: | eng |
| Abstract: | This article examines an attempted delivery squeeze in a bond futures contract traded in London. It provides an analysis of the strategic trading behavior, price distortion, and learning of dealers and customers in a market manipulation setting. The writers argue that market differences in settlement failure penalties in the futures and cash markets create conditions that favor squeezes. |
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