An empirical investigation of large trader market manipulation in derivatives markets

Robert Jarrow, Scott Fung, Shih Chuan Tsai

研究成果: 雜誌貢獻文章

摘要

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’s option positions have a quantity impact on the underlying asset’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.

原文英語
頁(從 - 到)331-374
頁數44
期刊Review of Derivatives Research
21
發行號3
DOIs
出版狀態已發佈 - 2018 十月 1

ASJC Scopus subject areas

  • Finance
  • Economics, Econometrics and Finance (miscellaneous)

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