Are there Some Manipulations of SHIBOR: A Hypothesis Testing based on Financial Products Linked to SHIBOR

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• 作者：Lin Chen ; ^{Chen_lin30@163.com} ; Zongfang Zhou
• 关键词：Financial products linked t o SHIBOR ; Manipulation of SHIBOR ; Hypothesis Testing
• 刊名：Procedia Computer Science
• 出版年：2013
• 出版时间：2013
• 年：2013
• 卷：17
• 期：Complete
• 页码：939-944
• 全文大小：304 K

文摘

Manipulation of LIBOR events has sounded the alarm to our how to regulate the development the SHIBOR. The financial products linked to SHIBOR have e merged in recent years, bank of SHIBOR quoting may based on self- interest, there may be an intrinsic motivation for higher or lower quoting SHIBOR. Based on analysis of financial products linked to seven-days-SHIBOR and three-months-SHIBOR between 2010 and 2011, and do a hypothesis testing that are there some manipulations of SHIBOR. The testing result showed that during the date of sales financial products, the higher quoting SHIBOR behavior may be existing, in order to raise people's expectations of yield of financial products, but lower quoting SHIBOR behavior may not be existing at the date of calculating interest of financial products.