@article{3b1fdf14565947e684eef844f5563096,
title = "An empirical investigation of large trader market manipulation in derivatives markets",
abstract = "Using account-level transaction data in options and futures markets, we investigate the existence of market manipulation, which is the ability of large traders to trade strategically, impacting prices and making abnormal profits. First, large trader{\textquoteright}s option positions have a quantity impact on the underlying asset{\textquoteright}s price. Second, large traders generate significantly positive alphas from trading options and futures. Among the different investor types, proprietary dealers generate the largest positive alphas. Third, these abnormal returns are consistent with strategic trading and cross-market manipulation. The evidence supports market manipulation across the options and futures markets, but not within the futures market itself.",
keywords = "Futures, Market manipulation, Options, Positive alphas, Strategic trading",
author = "Robert Jarrow and Scott Fung and Tsai, {Shih Chuan}",
note = "Funding Information: Acknowledgements We thank Jed DeVaro and the participants at the Department of Accounting and Finance Research Workshop and the Department of Economics Seminar, California State University, East Bay for helpful comments. Fung would like to acknowledge the support of the Jack and Susan Acosta Professorship at California State University, East Bay. Tsai would like to acknowledge the financial support from the Ministry of Science and Technology, Taiwan, R.O.C. (Grant No. 104-2410-H-003-005). Funding Information: We thank Jed DeVaro and the participants at the Department of Accounting and Finance Research Workshop and the Department of Economics Seminar, California State University, East Bay for helpful comments. Fung would like to acknowledge the support of the Jack and Susan Acosta Professorship at California State University, East Bay. Tsai would like to acknowledge the financial support from the Ministry of Science and Technology, Taiwan, R.O.C. (Grant No. 104-2410-H-003-005). Publisher Copyright: {\textcopyright} 2018, Springer Science+Business Media, LLC, part of Springer Nature. Copyright: Copyright 2018 Elsevier B.V., All rights reserved.",
year = "2018",
month = oct,
day = "1",
doi = "10.1007/s11147-018-9143-0",
language = "English",
volume = "21",
pages = "331--374",
journal = "Review of Derivatives Research",
issn = "1380-6645",
publisher = "Springer New York",
number = "3",
}