The pure javascript selectedIndex attribute is the right way to go because,it's pure javascript and works cross-browser:
$('#selectBox')[0].selectedIndex=4;
Here is a jsfiddle demo with two dropdowns using one to set the other:
You can also call this before changing the selectedIndex if what you want is the "selected" attribute on the option tag (here is the fiddle):
$('#selectBox option').removeAttr('selected')
.eq(this.selectedIndex).attr('selected','selected');