Abstract: The purpose of manipulation is to manipulate the price of cash market， which means to gain profits through the influence on the final settlement price. The paper establishes a model of manipulation in the cash settled stock index futures. The manipulation strategy requires the manipulator to take a future position and trade in the cash market to move the settlement price in his favor. The manipulator makes positive expected profits if the liquidity of the futures market is more than the weighted average liquidity of the cash market. The study solves the decision-making problem of drawing up the best manipulation strategy based on monitoring trade for manipulators; meanwhile， it proposes a methodology for examining the existence of manipulation strategy in stock index future market. The model discriminates price manipulation behavior from the market transaction information at an earlier time， therefore effectively reduces the damage to the market efficiency and fairness by manipulation， to control market risks.