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

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  • Ouyang, Liangyi
  • Cao, Bolong

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.

Suggested Citation

  • Ouyang, Liangyi & Cao, Bolong, 2020. "Selective pump-and-dump: The manipulation of their top holdings by Chinese mutual funds around quarter-ends," Emerging Markets Review, Elsevier, vol. 44(C).
    • Handle: RePEc:eee:ememar:v:44:y:2020:i:c:s1566014118302620
    DOI: 10.1016/j.ememar.2020.100697
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    References listed on IDEAS

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    More about this item

    Keywords

    Stock price manipulation; Performance manipulation; Mutual funds;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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