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- W2339681738 abstract "On June 25, 2012 the Chicago Board of Trade (CBT) changed the procedure for determining reference (settlement) prices for their corn futures contract. Prior to the change, settlement prices were based on prices in trades executed on the exchange floor during the final minute of the floor trading session. Since the change, settlement price have been based on both electronic trades and floor trades made during the final minute. We propose a theoretical model exploring the incentive to manipulate settlement price under the two alternative settlement regimes The model generates a number of empirical predictions, including predictions for the composition of trading. To test these predictions, we make use of a unique, proprietary data set comprised of individual transactions in the CBT’s corn futures market, and find that all of them are supported by data. For example, consistent with the model, the ratio of floor trading to total trading during the final minute decreased, from 31% to 12%, following the rule change. Another key prediction of our model is that the size and direction of an individual trader’s position entering the settlement period should affect their trading behavior, which also matches what we observe in the data." @default.
- W2339681738 created "2016-06-24" @default.
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- W2339681738 date "2015-01-01" @default.
- W2339681738 modified "2023-10-02" @default.
- W2339681738 title "The Effect of Settlement Rules on Trading Behavior" @default.
- W2339681738 cites W1567733316 @default.
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- W2339681738 doi "https://doi.org/10.2139/ssrn.2642858" @default.
- W2339681738 hasPublicationYear "2015" @default.
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