Competition and manipulation in derivative contract markets

• 成果类型: Article
• 署名作者: Zhang, Anthony Lee
• 署名单位: University of Chicago
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2022.02.001
• 发表日期: 2022
• 页码: 396-413
• 关键词: derivatives; manipulation; regulation

摘要

This paper studies manipulation in derivative contract markets. When traders hedge factor risk using derivative contracts, traders can manipulate settlement prices by trading the underlying spot goods. In equilibrium, manipulation can make all agents worse off. The model illustrates how contract market manipulation can be defined in a manner distinct from other forms of strategic trading behavior, and how the structure of contract and spot markets affect the size of manipulation-induced market distortions.(c) 2022 Elsevier B.V. All rights reserved.