Settlement procedures and stock market efficiency
研究了衍生品市场结算程序对标的资产的影响，发现以单一价格而非平均价格作为最终结算价时市场效率最高，但可能以牺牲市场质量为代价防止操纵。
Abstract This study examines why most derivatives markets that settle on the day following expiration choose the opening rather than the closing price as the final settlement price (FSP), whereas most markets that settle on the expiration day select an average rather than a single price as the FSP. Four exogenous changes in the Taiwan Futures Exchange settlement procedures provide an experimental basis for studying the settlement procedures’ impact on underlying assets. Greatest market efficiency is observed when the FSP is determined by a single rather than an average price and hypothesize that manipulation is prevented at the expense of market quality.