Selective pump-and-dump: The manipulation of their top holdings by Chinese mutual funds around quarter-ends

Liangyi Ouyang and Bolong Cao

Emerging Markets Review, 2020, vol. 44, issue C

Abstract: Using data from 2009 to 2016, we reveal that Chinese mutual fund managers pump and dump some of their top holdings around quarter-ends. Our evidence suggests that the fund managers engage in the manipulation so as to either create a star fund for the fund family or increase their own compensation directly. Besides size and liquidity, the Chinese mutual fund managers also seem to choose some manipulation targets based on factors used in tactical allocation. Our main findings are robust under different regulatory regimes and various market trends.

Keywords: Stock price manipulation; Performance manipulation; Mutual funds (search for similar items in EconPapers)
JEL-codes: G12 G23 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ememar:v:44:y:2020:i:c:s1566014118302620

DOI: 10.1016/j.ememar.2020.100697

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