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A survey on physical delivery versus cash settlement in futures contracts

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  • Lien, Donald
  • Tse, Yiu Kuen

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Bibliographic Info

Article provided by Elsevier in its journal International Review of Economics & Finance.

Volume (Year): 15 (2006)
Issue (Month): 1 ()
Pages: 15-29

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Handle: RePEc:eee:reveco:v:15:y:2006:i:1:p:15-29

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Web page: http://www.elsevier.com/locate/inca/620165

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References

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  1. Gay, Gerald D. & Manaster, Steven, 1986. "Implicit delivery options and optimal delivery strategies for financial futures contracts," Journal of Financial Economics, Elsevier, vol. 16(1), pages 41-72, May.
  2. Jarrow, Robert A., 1992. "Market Manipulation, Bubbles, Corners, and Short Squeezes," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 27(03), pages 311-336, September.
  3. Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, vol. 53(6), pages 1315-35, November.
  4. Mark W. Ditsch & Raymond M. Leuthold, 1996. "Evaluating the Hedging Potential of the Lean Hog Futures Contract," Finance 9609003, EconWPA.
  5. Lien, Donald & Yang, Li, 2004. "Alternative settlement methods and Australian individual share futures contracts," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 14(5), pages 473-490, December.
  6. Kenyon, David E. & Bainbridge, Bruce & Ernst, Robin, 1991. "Impact Of Cash Settlement On Feeder Cattle Basis," Western Journal of Agricultural Economics, Western Agricultural Economics Association, vol. 16(01), July.
  7. Kamara, Avraham & Siegel, Andrew F, 1987. " Optimal Hedging in Futures Markets with Multiple Delivery Specifications," Journal of Finance, American Finance Association, vol. 42(4), pages 1007-21, September.
  8. Ditsch, Mark W. & Leuthold, Raymond M., 1996. "Evaluating The Hedging Potential Of The Lean Hog Futures Contract," ACE OFOR Reports 14769, University of Illinois at Urbana-Champaign, Department of Agricultural and Consumer Economics.
  9. Chan, Leo & Lien, Donald, 2002. "Measuring the impacts of cash settlement: A stochastic volatility approach," International Review of Economics & Finance, Elsevier, vol. 11(3), pages 251-263.
  10. Pirrong, Craig, 2001. "Manipulation of Cash-Settled Futures Contracts," The Journal of Business, University of Chicago Press, vol. 74(2), pages 221-44, April.
  11. Kumar, Praveen & Seppi, Duane J, 1992. " Futures Manipulation with "Cash Settlement."," Journal of Finance, American Finance Association, vol. 47(4), pages 1485-502, September.
  12. Kilcollin, Thomas Eric, 1982. " Difference Systems in Financial Futures Markets," Journal of Finance, American Finance Association, vol. 37(5), pages 1183-97, December.
  13. Shroeder, Ted C. & Mintert, James R., 1988. "Hedging Feeder Steers And Heifers In The Cash-Settled Feeder Cattle Futures Market," Western Journal of Agricultural Economics, Western Agricultural Economics Association, vol. 13(02), December.
  14. Lien, Donald & Yang, Li, 2003. "Contract settlement specification and price discovery: Empirical evidence in Australia individual share futures market," International Review of Economics & Finance, Elsevier, vol. 12(4), pages 495-512.
  15. Hemler, Michael L, 1990. " The Quality Delivery Option in Treasury Bond Futures Contracts," Journal of Finance, American Finance Association, vol. 45(5), pages 1565-86, December.
  16. Hegde, Shantaram P., 1988. "An empirical analysis of implicit delivery options in the treasury bond futures contract," Journal of Banking & Finance, Elsevier, vol. 12(3), pages 469-492, September.
  17. Chan, Leo & Lien, Donald, 2003. "Using high, low, open, and closing prices to estimate the effects of cash settlement on futures prices," International Review of Financial Analysis, Elsevier, vol. 12(1), pages 35-47.
  18. Fort, Rodney D & Quirk, James, 1988. "Normal Backwardation and the Inventory Effect," Journal of Political Economy, University of Chicago Press, vol. 96(1), pages 81-99, February.
  19. Pirrong, Stephen Craig, 1993. "Manipulation of the Commodity Futures Market Delivery Process," The Journal of Business, University of Chicago Press, vol. 66(3), pages 335-69, July.
  20. Lien, Da-Hsiang Donald, 1986. "Moments of ordered bivariate log-normal distributions," Economics Letters, Elsevier, vol. 20(1), pages 45-47.
  21. Harvey, Andrew & Ruiz, Esther & Shephard, Neil, 1994. "Multivariate Stochastic Variance Models," Review of Economic Studies, Wiley Blackwell, vol. 61(2), pages 247-64, April.
  22. Boyle, Phelim P, 1989. " The Quality Option and Timing Option in Futures Contracts," Journal of Finance, American Finance Association, vol. 44(1), pages 101-13, March.
  23. Schmitz, John D., 1997. "Basis Convergence in Cattle Contracts Before and After Changes to Delivery Specifications," 1997 Annual Meeting, July 13-16, 1997, Reno\Sparks, Nevada 35885, Western Agricultural Economics Association.
  24. Cooper, David J. & Donaldson, R. Glen, 1998. "A Strategic Analysis of Corners and Squeezes," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 33(01), pages 117-137, March.
  25. Elam, Emmett W., 1988. "Estimated Hedging Risk With Cash Settlement Feeder Cattle Futures," Western Journal of Agricultural Economics, Western Agricultural Economics Association, vol. 13(01), July.
  26. Lien, Donald & Tse, Yiu Kuen, 2002. "Physical delivery versus cash settlement: an empirical study on the feeder cattle contract," Journal of Empirical Finance, Elsevier, vol. 9(4), pages 361-371, November.
  27. Garman, Mark B & Klass, Michael J, 1980. "On the Estimation of Security Price Volatilities from Historical Data," The Journal of Business, University of Chicago Press, vol. 53(1), pages 67-78, January.
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Cited by:
  1. Hung, Mao-Wei & Lin, Bing-Huei & Huang, Yu-Chuan & Chou, Jian-Hsin, 2011. "Determinants of futures contract success: Empirical examinations for the Asian futures markets," International Review of Economics & Finance, Elsevier, vol. 20(3), pages 452-458, June.
  2. Pineda, S. & Conejo, A.J., 2012. "Managing the financial risks of electricity producers using options," Energy Economics, Elsevier, vol. 34(6), pages 2216-2227.

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