Constructing accurate cash settlement indices: The role of index specifications
All cash settlement contracts are susceptible to sampling and nonsampling errors, while those that depend on external pricing agents are also subject to the possibility of intentional bias. The proper specification of settlement procedures plays an important role in keeping the various sources of in...
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| Published in | The journal of futures markets Vol. 12; no. 3; pp. 339 - 360 |
|---|---|
| Main Authors | , |
| Format | Journal Article |
| Language | English |
| Published |
New York
Wiley Subscription Services, Inc., A Wiley Company
01.06.1992
Wiley-Blackwell Published by J. Wiley in affiliation with the Center for the Study of Futures Markets, Columbia University Wiley Periodicals Inc |
| Subjects | |
| Online Access | Get full text |
| ISSN | 0270-7314 1096-9934 |
| DOI | 10.1002/fut.3990120308 |
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| Abstract | All cash settlement contracts are susceptible to sampling and nonsampling errors, while those that depend on external pricing agents are also subject to the possibility of intentional bias. The proper specification of settlement procedures plays an important role in keeping the various sources of index error in check. Contract design features that might be used to mitigate all sources of index inaccuracy are analyzed. Even with a well-designed price monitoring scheme, small errors can go undetected. This highlights the importance of selecting the best possible price aggregation procedure. Compared with all other linear estimators, the simple mean (SIM), in many settings, provides reporting agents with the least incentive to report biased prices. The same can be said about its ability to minimize the influence of nonsampling error. Thus, for most applications, the SIM is the best overall estimator. |
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| AbstractList | All cash settlement contracts are susceptible to sampling and nonsampling errors, while those that depend on external pricing agents are also subject to the possibility of intentional bias. The proper specification of settlement procedures plays an important role in keeping the various sources of index error in check. Contract design features that might be used to mitigate all sources of index inaccuracy are analyzed. Even with a well-designed price monitoring scheme, small errors can go undetected. This highlights the importance of selecting the best possible price aggregation procedure. Compared with all other linear estimators, the simple mean (SIM), in many settings, provides reporting agents with the least incentive to report biased prices. The same can be said about its ability to minimize the influence of nonsampling error. Thus, for most applications, the SIM is the best overall estimator. |
| Author | Lien, Donald Cita, John |
| Author_xml | – sequence: 1 givenname: John surname: Cita fullname: Cita, John organization: John Cita is a managing economist at the Kansas Corporation Commission – sequence: 2 givenname: Donald surname: Lien fullname: Lien, Donald organization: Donald Lien is an Associate Professor of Economics at the University of Kansas |
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| Cites_doi | 10.1002/fut.3990090611 10.1002/fut.3990040407 10.2307/2330753 10.1002/fut.3990020108 10.1002/fut.3990030410 10.1002/fut.3990040304 10.1080/01621459.1976.10480344 10.1002/fut.3990090308 |
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| References | Lien, D. (1989a): "Cash Settlement Provisions on Futures Contracts," The Journal of Futures Markets, 9: 263-270. Cita, J., and Lien, D. (1990): Contract Settlement Based upon Dealer's Price Quotations, Mimeograph, University of Kansas, Lawrence, Kansas. Panton, D. (1989): "The Relevance of the Distributional Form of Common Stock Returns to the Construction of Optimal Portfolios: Comment," Journal of Financial and Quantitative Analysis, 24: 129-130. Lien, D. (1989b): "Sampled Data as a Basis of Cash Settlement Price," The Journal of Futures Markets, 9: 583-588. Johnson, C., Haghanis, V., and Stavis, R. (1985): Advances in Futures and Options Research, Salomon Brothers Inc., vol. 1, pp. 235-253. David, R. (1981): Order Statistics (2nd ed.), New York: Wiley. Cornew, R., Town, D., and Crowson, L. (1984): "Stable Distributions, Futures Prices, and the Measurement of Trading Performance," The Journal of Futures Markets, 4: 531-557. Chambers, J., Mallows, C., and Stuck, B. (1976): "A Method for Simulating Stable Random Variables," Journal of American Statistical Society, 4: 340-344. Garbade, K. D., and Silber, W. L. (1983): "Cash Settlement of Futures Contracts; An Economic Analysis," The Journal of Futures Markets, 3: 451-472. Anderson, R. A. (1984): "The Regulation of Futures Contract Innovations in the United States," The Journal of Futures Markets, 4: 297-332. Jones, F. J. (1982): "The Economics of Futures and Options Contracts Based on Cash Settlement," The Journal of Futures Markets, 2: 63-82. 1989a; 9 1985; 1 1989b; 9 1984; 4 1990 1983; 3 1982; 2 1987 1986 1985 1984 1981 1980 1989; 24 1976; 4 Paul A. B. (e_1_2_1_17_1) 1985 Cita J. (e_1_2_1_6_1) 1990 Paul A. B. (e_1_2_1_18_1) 1987 Johnson C. (e_1_2_1_12_1) 1985 Kyle A. S. (e_1_2_1_13_1) 1984 e_1_2_1_7_1 e_1_2_1_5_1 e_1_2_1_4_1 e_1_2_1_10_1 e_1_2_1_2_1 e_1_2_1_11_1 e_1_2_1_16_1 e_1_2_1_14_1 Chambers J. (e_1_2_1_3_1) 1976; 4 e_1_2_1_15_1 David R. (e_1_2_1_8_1) 1981 e_1_2_1_9_1 |
| References_xml | – reference: Jones, F. J. (1982): "The Economics of Futures and Options Contracts Based on Cash Settlement," The Journal of Futures Markets, 2: 63-82. – reference: Lien, D. (1989a): "Cash Settlement Provisions on Futures Contracts," The Journal of Futures Markets, 9: 263-270. – reference: Johnson, C., Haghanis, V., and Stavis, R. (1985): Advances in Futures and Options Research, Salomon Brothers Inc., vol. 1, pp. 235-253. – reference: Chambers, J., Mallows, C., and Stuck, B. (1976): "A Method for Simulating Stable Random Variables," Journal of American Statistical Society, 4: 340-344. – reference: David, R. (1981): Order Statistics (2nd ed.), New York: Wiley. – reference: Lien, D. (1989b): "Sampled Data as a Basis of Cash Settlement Price," The Journal of Futures Markets, 9: 583-588. – reference: Cornew, R., Town, D., and Crowson, L. (1984): "Stable Distributions, Futures Prices, and the Measurement of Trading Performance," The Journal of Futures Markets, 4: 531-557. – reference: Garbade, K. D., and Silber, W. L. (1983): "Cash Settlement of Futures Contracts; An Economic Analysis," The Journal of Futures Markets, 3: 451-472. – reference: Anderson, R. A. (1984): "The Regulation of Futures Contract Innovations in the United States," The Journal of Futures Markets, 4: 297-332. – reference: Panton, D. (1989): "The Relevance of the Distributional Form of Common Stock Returns to the Construction of Optimal Portfolios: Comment," Journal of Financial and Quantitative Analysis, 24: 129-130. – reference: Cita, J., and Lien, D. (1990): Contract Settlement Based upon Dealer's Price Quotations, Mimeograph, University of Kansas, Lawrence, Kansas. – volume: 1 start-page: 235 year: 1985 end-page: 253 – year: 1985 – year: 1986 – volume: 2 start-page: 63 year: 1982 end-page: 82 article-title: The Economics of Futures and Options Contracts Based on Cash Settlement publication-title: The Journal of Futures Markets – volume: 4 start-page: 340 year: 1976 end-page: 344 article-title: A Method for Simulating Stable Random Variables publication-title: Journal of American Statistical Society – year: 1984 – year: 1981 – volume: 9 start-page: 263 year: 1989a end-page: 270 article-title: Cash Settlement Provisions on Futures Contracts publication-title: The Journal of Futures Markets – year: 1980 – year: 1987 – volume: 24 start-page: 129 year: 1989 end-page: 130 article-title: The Relevance of the Distributional Form of Common Stock Returns to the Construction of Optimal Portfolios: Comment publication-title: Journal of Financial and Quantitative Analysis – volume: 4 start-page: 297 year: 1984 end-page: 332 article-title: The Regulation of Futures Contract Innovations in the United States publication-title: The Journal of Futures Markets – volume: 4 start-page: 531 year: 1984 end-page: 557 article-title: Stable Distributions, Futures Prices, and the Measurement of Trading Performance publication-title: The Journal of Futures Markets – start-page: 55 year: 1987 end-page: 94 – volume: 9 start-page: 583 year: 1989b end-page: 588 article-title: Sampled Data as a Basis of Cash Settlement Price publication-title: The Journal of Futures Markets – year: 1990 – volume: 3 start-page: 451 year: 1983 end-page: 472 article-title: Cash Settlement of Futures Contracts; An Economic Analysis publication-title: The Journal of Futures Markets – volume-title: Contract Settlement Based upon Dealer's Price Quotations year: 1990 ident: e_1_2_1_6_1 – ident: e_1_2_1_15_1 doi: 10.1002/fut.3990090611 – volume-title: Order Statistics year: 1981 ident: e_1_2_1_8_1 – ident: e_1_2_1_7_1 doi: 10.1002/fut.3990040407 – ident: e_1_2_1_16_1 doi: 10.2307/2330753 – start-page: 55 volume-title: Key Issues in Livestock Pricing: A Perspective for the 1990's year: 1987 ident: e_1_2_1_18_1 – ident: e_1_2_1_11_1 doi: 10.1002/fut.3990020108 – ident: e_1_2_1_5_1 – ident: e_1_2_1_9_1 doi: 10.1002/fut.3990030410 – ident: e_1_2_1_2_1 doi: 10.1002/fut.3990040304 – volume: 4 start-page: 340 year: 1976 ident: e_1_2_1_3_1 article-title: A Method for Simulating Stable Random Variables publication-title: Journal of American Statistical Society doi: 10.1080/01621459.1976.10480344 – start-page: 235 volume-title: Advances in Futures and Options Research year: 1985 ident: e_1_2_1_12_1 – volume-title: Industrial Organization of Futures Markets year: 1984 ident: e_1_2_1_13_1 – volume-title: Futures Markets: Regulatory Issues year: 1985 ident: e_1_2_1_17_1 – ident: e_1_2_1_10_1 – ident: e_1_2_1_14_1 doi: 10.1002/fut.3990090308 – ident: e_1_2_1_4_1 |
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| SubjectTerms | Börse Financial futures Futures market Index Indexing Kommunalverschuldung Market prices Mathematical models Monte Carlo simulation Securities analysis Theorie USA Öffentliche Anleihe |
| Title | Constructing accurate cash settlement indices: The role of index specifications |
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