Quote-Based Manipulation of Illiquid Benchmarks

Market manipulation and innovation

“…EOD stock price manipulations are more likely to occur at the end of the month, when manipulators have greater incentives to push up prices for reasons of compensation and option expiration. Month-end manipulation has been shown to be more common than other days of the month (Aitken et al, 2015a;Chau et al, 2019). This is a result of two factors.…”

Benchmarks in the spotlight: The impact on exchange traded markets

“…Caminschi and Heaney (2014) investigate the impact of the London gold Fix on two exchange‐traded instruments and concludes that information gleaned during the Fix process was disseminated to exchange traded financial markets before the formal announcement of the Fix price, allowing Fix participants to earn significant informational rents. Chau, Aspris, Foley, and Malloch (2020) similarly find evidence of manipulation in poorly constructed equity benchmarks. In contrast, in the interest rate benchmark LIBOR, Abrantes‐Metz, Kraten, Metz, and Seow (2012) examine several periods associated with allegations of benchmark manipulation and concludes that the benchmark process was unlikely to have been systematically manipulated.…”