De Jager, Phillip and Parsons, Shaun, Signs of JIBAR Manipulation? (February 26, 2013). Available at SSRN
“The JSE [Johannesburg Stock Exchange] has recently come under pressure in the financial media to defend the integrity of the Johannesburg Interbank Agreed Rate (JIBAR) in the midst of the revelations of the long-term and systematic manipulation of the London Interbank Offer Rate (LIBOR) in the United Kingdom. The purpose of this paper is to investigate the extent to which there may be anomalies in the historical JIBAR that merit further investigation. The paper finds that there is insufficient publicly available data from the JSE to test for profit-seeking manipulation by individual banks. In considering the available data, discrepancies were identified in the historic JIBAR obtained from different sources, and inconsistencies were noted in the types of data used to calculate the JSE zero coupon yield curves. Based on the available data, no evidence was found of day of the month type manipulation of JIBAR. In seeking indications of possible lowballing activity, the 3 month JIBAR behaved very similarly to the 3 month British pound LIBOR. In contrast, over the height of the financial crisis, the 1 month JIBAR behaved in ways that cannot be readily explained. The anomalies in this rate support the need for further investigation.”
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