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《Management Sciences in China》 2006-05
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Cash Settlement Setting of Index Futures under Control of Manipulation

ZHENG Zun-xin,WU Chong-fengAntai College of Economics & Management,Shanghai Jiaotong University,Shanghai 200052,China  
Existing literatures discovered that it is unavoidable for futures markets to be manipulated even with cash settlement instead of physical delivery.In the framework of Kumar Seppi′s,by specifying the cash settlement price,and analyzing the optimal strategy of index futures manipulation with different cash settlement,the paper explores the internal relationship between cash settlement price setting and market manipulation.The basic hypotheses of deal market is substituted by the hypotheses of order driven market in order that the result of this study can help construct forthcoming index futures of China.The results show that the properly setting of cash settlement price,according to the characteristic of index futures markets and stock market,can help control the manipulation activity of index futures.
【Fund】: 国家自然科学基金(70331001)
【CateGory Index】: F830.9;F224
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