【摘要】 现有研究发现,期货的现金结算方式仍然无法避免市场操纵行为。在Kum ar和Sep-p i的框架内,通过具体化现金结算价,分析不同结算方式下的股指期货操纵的最优策略,探讨现金价与市场操纵的内在关系,为使研究结论能适用于中国未来的股指期货合约,将Kum ar和Sepp i假设中市场交易机制延伸到指令驱动市场。研究表明,在特定市场环境下,现金结算价影响市场操纵行为;根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;当期货市场价格发现功能较弱而现货市场流动性较强时,单一价格结算机制能够控制市场操纵;当期货市场价格发现功能较强而现货市场流动性较弱时,平均价格结算机制对控制市场操纵更有效。更多还原

【Abstract】 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.更多还原