Publication Type
Journal Article
Version
submittedVersion
Publication Date
1-2006
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
Discipline
Finance
Research Areas
Econometrics
Publication
International Review of Economics and Finance
Volume
15
Issue
1
First Page
15
Last Page
29
ISSN
1059-0560
Identifier
10.1016/j.iref.2004.08.001
Publisher
Elsevier
Citation
LIEN, Donald and TSE, Yiu Kuen.
A Survey on Physical Delivery Versus Cash Settlement in Futures Contracts. (2006). International Review of Economics and Finance. 15, (1), 15-29.
Available at: https://ink.library.smu.edu.sg/soe_research/454
Copyright Owner and License
Authors
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
https://doi.org/10.1016/j.iref.2004.08.001