中国金融学术研究网
CHINA FINANCIAL RESEARCH NETWORK

资本市场--市场微观结构
工作论文
2011-03-31 第3卷 第5期

编: 麻省理工学院斯隆管理学院金融学讲席教授,清华大学经管学院特聘教授。

执行主编: 杨之曙清华大学经济管理学院金融学副教授。


本期目录

Margin Policy in Futures Markets: Autopilot System in China versus Discretional Approach in the United States

Haiwei Chen University of Texas, Pan AmericanDepartment of Finance
Canlin Li University of California, RiversideDepartment of Finance


论文摘要

Margin Policy in Futures Markets: Autopilot System in China versus Discretional Approach in the United States

Haiwei Chen University of Texas, Pan AmericanDepartment of Finance
Canlin Li University of California, RiversideDepartment of Finance

We compare the effects of futures market margin policy on trading activity and volatility between the China margin system and the U.S. margin system. In China margin levels are set as a fixed percentage of the underlying futures contract value and change daily as futures prices change over time. In contrast, margin is set at a fixed dollar amount for most contracts in the United States and is infrequently adjusted at the discretion of the exchange’s clearinghouse. We provide a theoretic model on how the changing margin cost between market-up days and market-down days would affect the demand and supply of short term speculators and long term hedgers in the Chinese futures market and their different effects on market volatility. The model shows that the futures price shocks should have an asymmetric effect on trading volume and volatility in the Chinese market but symmetric effect in the U.S. market and futures price should have a return dynamics that is more stable in the Chinese market than in the U.S. market. Using Soybean futures data from the Chinese and U.S. markets, we compare price and volatility dynamics between the two markets and find empirical support for our theoretic model and hypothesis.


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