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

Eyup Kadioglu and Michael Frömmel

International Review of Financial Analysis, 2022, vol. 79, issue C

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 (search for similar items in EconPapers)
JEL-codes: G11 G12 G14 G15 G18 (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:79:y:2022:i:c:s105752192100315x

DOI: 10.1016/j.irfa.2021.102000

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