Follow @SCMP_News The alleged discovery of fake bank guarantees during the police investigation into the collapse of the Hong Kong Mercantile Exchange has baffled financial analysts. Hong Kong police have arrested at least five people in their investigation into the failure of the HKMEx, with at least four suspected of possessing "false financial instruments". A 35-year-old woman surnamed Zheng was arrested on Sunday on suspicion of possession of the false instruments, according to the Police Public Relations Branch. The arrest followed the appearance in court last week of three mainland men - Dai Linyi, Li Shanrong and Lian Chunyan - on charges of possessing false documents purporting to show they possessed or had access to billions of Hong Kong dollars, including letters of guarantee and proofs of funds purportedly issued by HSBC and Standard Chartered Bank. False financial instruments in Hong Kong were not uncommon, said John Bruce, Macau director of Hill & Associates, a Hong Kong risk consultancy, but were almost always detected, given the city's sophistication. "So you have to wonder what these mainlanders stood to gain from these false instruments, which in all likelihood were going to be detected," he said. The HKMEx gave up its trading licence earlier this month after failing to attract sufficient revenue. Its founder and largest shareholder, Executive Councillor Barry Cheung Chun-yuen, stepped down from his public posts on Friday after police asked him to help in their investigation. "This issue appears to be much more complicated than what we have seen in the papers," said the dean of the Hang Seng Management College business school, Raymond So Wai-man. "The amounts are so huge, it is probably not simply related to giving money to the Hong Kong Mercantile Exchange." Financial documents involving such large sums would be rigorously checked if attempts were made to use them, and readily identified as false, So said. When such large sums were involved, banks would also send additional proofs of authenticity to the recipient independently of the people bearing the instruments. "If a crook were familiar with bank practices, he would not try to do such a thing," So said. A report on a website called Zero Hedge, which publishes articles by anonymous authors, meanwhile speculated that falling gold prices might have caused the exchange's collapse. The exchange may have been "nothing more than a gold financing vehicle", the Zero Hedge article noted. As gold prices fell, counterparties suddenly called in their loans, hence "all those associated with it had to scramble to procure fake financial documents on short notice". The author admitted this was pure speculation.