The effect of settlement rules on the incentive to Bang the Close
研究了芝加哥期货交易所2012年收盘价规则变更是否增强了参考价格的稳健性，通过理论模型和玉米期货交易数据检验了操纵激励的变化。
Closing prices on financial exchanges are often used as reference prices in other contracts. As such, the robustness of the process determining closing prices is an important feature of exchanges. This paper examines whether the 2012 change in the Chicago Board of Trade's (CBT) closing price procedure made reference prices more robust, especially regarding potential manipulation. We propose a theoretical model exploring incentives to manipulate reference prices under two alternative closing price regimes. We test several predictions of the model using a proprietary data set comprised of individual transactions in CBT corn futures, and find empirical support for these predictions.