Research On The Setting Of Cash Settlement Price Based On Trading Behavior In Stock Index Futures

As a creative result of derivatives, the markets of index futures have been abnormal active from their beginning. Many countries or areas designed their index futures and competed with each other from the angle of development strategy, in order to adapt to financial internationalization and defend the risk of internationalization, strengthen the international competition, and try to be the international financial center. During the process, the structure of coexistence of competition and development has been forming. As to a contract of index futures, the contract design is a key to keep its competence, but which also is the difficulty that faced by researcher and policy makers. The specification of a contract including Margin, Trading system, Trading hour, Tick size, Price limit, Final settlement procedures, and so on, those of which attract abroad attention, but research on them is unprepared. On the other hand, the sense of pressure to design the contract of index futures of China is more and more intensive, because of the cross-listed index futures based on the stock index of China and market development of itself. So the cash settlement as the research objective is very significant, which will rich the literatures of index futures design and supply the index futures design of China with theory basis and implementation reference.The foreign literatures involving final settlement of index futures include optimal cash settlement based on hedge effectiveness, sampling procedures of price and data quality, the discussion on the advantage and disadvantage of different cash settlement procedure and expiration-day effects, and so on. Meanwhile domestic researchers put forward the scheme of cash settlement price based on the control of manipulation. All of that have the following limitations: those researches are scattered, not systematic...