Publication Type

Working Paper

Publication Date

11-2003

Abstract

A futures contract may adopt physical delivery or cash settlement to liquidate open positions after the maturity day. While traditionally physical delivery specification is favored, exchanges have recently turned to examine cash settlement possibilities. This paper summarizes current literature on settlement specifications with emphases on market manipulation, cash index construction, and hedging effectiveness comparisons

Keywords

Futures contract; Physical delivery; Cash settlement; Market manipulation; Cash index construction; Gel code=G13

Discipline

Finance

Research Areas

Econometrics

First Page

1

Last Page

31

Publisher

Singapore Management University Economics and Statistics Working Paper series No. 19-2003

City or Country

Singapore

Copyright Owner and License

Authors

Creative Commons License

Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.

Comments

Published in International Journal of Housing Markets and Analysis, https://doi.org/10.1016/j.iref.2004.08.001

Included in

Finance Commons

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