Futures Manipulation with “Cash Settlement”
研究现金结算期货市场在信息不对称下如何被操纵，无实物交割时操纵者通过现货交易影响结算价获利，且操纵者增多会降低利润但影响流动性。
ABSTRACT This paper investigates the susceptibility of futures markets to price manipulation in a two‐period model with asymmetric information and “cash settlement” futures contracts. Without “physical delivery,” strategies based on “corners” or “squeezes” are infeasible. However, uninformed investors still earn positive expected profits by establishing a futures position and then trading in the spot market to manipulate the spot price used to compute the cash settlement at delivery. We also show that as the number of manipulators grows, profits from manipulation fall to zero. However, even in the limit, manipulation still has a nontrivial impact on market liquidity. More broadly, we interpret manipulation as a form of endogenous “noise trading” which can arise in multiperiod security markets.