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Strategic trading behavior and price distortion in a manipulated market: anatomy of a squeeze

  • Merrick, John Jr
  • Naik, Narayan Y.
  • Yadav, Pradeep K.
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    File URL: http://www.sciencedirect.com/science/article/B6VBX-4FJGWCX-1/2/80b413bc91cb04cb4be714dcae386ef0
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    Article provided by Elsevier in its journal Journal of Financial Economics.

    Volume (Year): 77 (2005)
    Issue (Month): 1 (July)
    Pages: 171-218

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    Handle: RePEc:eee:jfinec:v:77:y:2005:i:1:p:171-218
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/505576

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    8. Boyle, Phelim P, 1989. " The Quality Option and Timing Option in Futures Contracts," Journal of Finance, American Finance Association, vol. 44(1), pages 101-13, March.
    9. Duffie, Darrell, 1996. " Special Repo Rates," Journal of Finance, American Finance Association, vol. 51(2), pages 493-526, June.
    10. Nyborg, Kjell G. & Sundaresan, Suresh, 1996. "Discriminatory versus uniform Treasury auctions: Evidence from when-issued transactions," Journal of Financial Economics, Elsevier, vol. 42(1), pages 63-104, September.
    11. Figlewski, Stephen, 1984. " Hedging Performance and Basis Risk in Stock Index Futures," Journal of Finance, American Finance Association, vol. 39(3), pages 657-69, July.
    12. Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, vol. 53(6), pages 1315-35, November.
    13. Merrick, John J., 1988. "Hedging with Mispriced Futures," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 23(04), pages 451-464, December.
    14. Kane, Alex & Marcus, Alan J, 1986. " Valuation and Optimal Exercise of the Wild Card Option in the Treasury Bond Futures Market," Journal of Finance, American Finance Association, vol. 41(1), pages 195-207, March.
    15. Chatterjea, Arkadev & Jarrow, Robert A., 1998. "Market Manipulation, Price Bubbles, and a Model of the U.S. Treasury Securities Auction Market," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 33(02), pages 255-289, June.
    16. Shalen, Catherine T, 1993. "Volume, Volatility, and the Dispersion of Beliefs," Review of Financial Studies, Society for Financial Studies, vol. 6(2), pages 405-34.
    17. Fung, William & Hsieh, David A., 2000. "Measuring the market impact of hedge funds," Journal of Empirical Finance, Elsevier, vol. 7(1), pages 1-36, May.
    18. Vikas Agarwal, 2004. "Risks and Portfolio Decisions Involving Hedge Funds," Review of Financial Studies, Society for Financial Studies, vol. 17(1), pages 63-98.
    19. Karpoff, Jonathan M, 1986. " A Theory of Trading Volume," Journal of Finance, American Finance Association, vol. 41(5), pages 1069-87, December.
    20. Jordan, Bradford D. & Jordan, Susan D., 1996. "Salomon brothers and the May 1991 Treasury auction: Analysis of a market corner," Journal of Banking & Finance, Elsevier, vol. 20(1), pages 25-40, January.
    21. Jegadeesh, Narasimhan, 1993. " Treasury Auction Bids and the Salomon Squeeze," Journal of Finance, American Finance Association, vol. 48(4), pages 1403-19, September.
    22. Figlewski, Stephen, 1981. "Futures Trading and Volatility in the GNMA Market," Journal of Finance, American Finance Association, vol. 36(2), pages 445-56, May.
    23. Epps, Thomas W, 1975. "Security Price Changes and Transaction Volumes: Theory and Evidence," American Economic Review, American Economic Association, vol. 65(4), pages 586-97, September.
    24. Nyborg, Kjell G. & Strebulaev, Ilya A., 2001. "Collateral and short squeezing of liquidity in fixed rate tenders," Journal of International Money and Finance, Elsevier, vol. 20(6), pages 769-792, November.
    25. Pirrong, Stephen Craig, 1993. "Manipulation of the Commodity Futures Market Delivery Process," The Journal of Business, University of Chicago Press, vol. 66(3), pages 335-69, July.
    26. Copeland, Thomas E, 1976. "A Model of Asset Trading under the Assumption of Sequential Information Arrival," Journal of Finance, American Finance Association, vol. 31(4), pages 1149-68, September.
    27. Narayan Y. Naik & Pradeep K. Yadav, 2003. "Risk Management with Derivatives by Dealers and Market Quality in Government Bond Markets," Journal of Finance, American Finance Association, vol. 58(5), pages 1873-1904, October.
    28. Cooper, David J. & Donaldson, R. Glen, 1998. "A Strategic Analysis of Corners and Squeezes," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 33(01), pages 117-137, March.
    29. Gay, Gerald D. & Manaster, Steven, 1986. "Implicit delivery options and optimal delivery strategies for financial futures contracts," Journal of Financial Economics, Elsevier, vol. 16(1), pages 41-72, May.
    30. Jordan, Bradford D. & Kuipers, David R., 1997. "Negative option values are possible: The impact of Treasury bond futures on the cash U.S. Treasury market," Journal of Financial Economics, Elsevier, vol. 46(1), pages 67-102, October.
    31. Shleifer, Andrei & Vishny, Robert W., 1986. "Large Shareholders and Corporate Control," Scholarly Articles 3606237, Harvard University Department of Economics.
    32. Jennings, Robert H & Starks, Laura T & Fellingham, John C, 1981. "An Equilibrium Model of Asset Trading with Sequential Information Arrival," Journal of Finance, American Finance Association, vol. 36(1), pages 143-61, March.
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    34. Vitale, Paolo, 1998. "Two months in the life of several gilt-edged market makers on the London Stock Exchange," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 8(3-4), pages 299-324, December.
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