Abstract
This paper uses a natural experiment to investigate the effects of collusive benchmark manipulation on foreign exchange (FX) market characteristics. Constructing digit-based measures, the empirical analysis detects anomalies throughout different digit positions of currency pairs in prosecuted FX data. The findings contribute to the understanding of suspicious patterns during the World Markets Company and Reuters benchmark window around the London close and suggest a simple, practical, and useful approach to screening other financial benchmarks, markets, and time periods.
Item Type: | Journal article |
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Faculties: | Munich School of Management > Institute for Capital Markets and Corporate Finance |
Subjects: | 300 Social sciences > 330 Economics |
ISSN: | 1351-847X |
Language: | English |
Item ID: | 62785 |
Date Deposited: | 19. Jul 2019 12:11 |
Last Modified: | 01. Dec 2023 08:52 |