Journal of Futures Markets Volume 38, August 2018, pp. 841-864
https://doi.org/10.1002/fut.21915

• We propose a theoretical model exploring the incentives to manipulate reference prices under two alternative closing price regimes.
• We test the predictions of the model in the CBT corn futures market around the change in settlement price calculation methodology that took place in June of 2012.
• We find that the new settlement price calculation methodology, namely basing the settlement price on all trades, was more efficient and robust.