现金结算价与股指期货操纵

Index Futures Manipulation with "Cash Settlement"

经研究发现,期货的现金结算方式仍无法难以克服市场操纵行为。在Kumar&Seppi的框架内,通过具体化的现金结算价,分析不同结算方式下的股指期货操纵的最优策略,从而探讨现金价确定与市场操纵的内在关系。研究表明,依据股指期货和现货市场的特点而设计恰当的现金结算方式有助于控制股指期货市场的操纵行为。

International 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, this paper specifies the cash settlement price, and analyzes the optimal strategy of index futures manipuaiton with different cash settlement, in order to explore the inner relationship between cash settlement price setting and market manipulation. The results show that, the properly setting of cash settlement price, according to the characteristic of index futures markets and stock market, is helpful to control the manipulation activity of index futures.