股指期货保证金水平对市场质量的影响

IF 7.4 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters Pub Date : 2024-10-12 DOI:10.1016/j.frl.2024.106305

Mengyao Gong , Ting Feng , Zhongshan Liu , Yuandong Gao

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引用次数: 0

摘要

我们研究了中国沪深 300（CSI 300）股指期货市场保证金水平对市场质量的影响。利用微观结构理论和 OPOK 模型，我们特别关注波动性、流动性和有效性。我们的研究结果表明，降低股指期货保证金水平可以减少信息交易者和非信息交易者的资本约束。此外，我们还发现，保证金水平的降低提高了市场流动性和有效性。流动性和有效性的提高会降低市场波动性，这表明保证金水平的降低并不一定会增加市场风险。基于这些结果，我们建议在设定股指期货保证金时，综合考虑其对波动性、流动性和有效性的综合影响。

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The impact of stock index futures margin levels on market quality

We examine the impact of margin levels on market quality in the China Shanghai–Shenzhen 300 (CSI 300) Stock Index Futures market. Utilizing microstructure theory and the OPOK model, we specifically focus on volatility, liquidity, and effectiveness. Our findings reveal that lowering the margin level for stock index futures reduces capital constraints for both informational and non-informational traders. Furthermore, we show that a reduction in margin levels enhances market liquidity and effectiveness. Improvements in liquidity and effectiveness subsequently reduce market volatility, indicating that a decrease in margin levels does not necessarily increase market risk. Based on these results, we recommend setting margins for stock index futures with comprehensive consideration of their combined effects on volatility, liquidity, and effectiveness.

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来源期刊

Finance Research Letters BUSINESS, FINANCE-

CiteScore

11.10

自引率

14.40%

发文量

863

期刊介绍： Finance Research Letters welcomes submissions across all areas of finance, aiming for rapid publication of significant new findings. The journal particularly encourages papers that provide insight into the replicability of established results, examine the cross-national applicability of previous findings, challenge existing methodologies, or demonstrate methodological contingencies. Papers are invited in the following areas: Actuarial studies Alternative investments Asset Pricing Bankruptcy and liquidation Banks and other Depository Institutions Behavioral and experimental finance Bibliometric and Scientometric studies of finance Capital budgeting and corporate investment Capital markets and accounting Capital structure and payout policy Commodities Contagion, crises and interdependence Corporate governance Credit and fixed income markets and instruments Derivatives Emerging markets Energy Finance and Energy Markets Financial Econometrics Financial History Financial intermediation and money markets Financial markets and marketplaces Financial Mathematics and Econophysics Financial Regulation and Law Forecasting Frontier market studies International Finance Market efficiency, event studies Mergers, acquisitions and the market for corporate control Micro Finance Institutions Microstructure Non-bank Financial Institutions Personal Finance Portfolio choice and investing Real estate finance and investing Risk SME, Family and Entrepreneurial Finance