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期货市场保证金调整的市场风险控制作用及制度改革——来自大连商品交易所的实证分析 被引量：12

The Margin Level of Futures Market and Its Role on Controlling Market Risk: An Empirical Analysis of Dalian Commodity Exchange
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摘要 本文以大连商品交易所数据为样本、以VaR(Value-at-Risk)为基础对我国期货市场保证金制度的调节市场风险作用进行了理论和实证分析。结论表明,保证金调整对市场风险具有非对称性的影响:保证金上调时市场风险减少;保证金下调时市场风险几乎不变。这有利于我国引入组合保证金系统以在保证安全的前提下有效降低投资成本。进一步,我们从保证金设置的基本原则出发,提出了我国期货市场保证金制度改革的若干建议。 This paper theoretically and empirically analyzes the margin system and its role on adjusting futures market risk based on the data from Dalian Commodity Exchange and VaR（Value-at-Risk） method. The conclusion is that the impacts of margin level are asymmetric. Market risk decreases when margin lever is increased and doesn＇t change when margin lever is decreased. The asymmetric impacts help to introduce the portfolio margin systems into China to effectively lower the investment cost without increase the market risk. Furthermore, the author provides some suggestions on the reform of the margin system in futures market in China, complying with the basic principles in margin level settings.
作者 蒋贤锋 史永东 李慕春
机构地区 东北财经大学应用金融研究中心 大连商品交易所
出处 《金融研究》 CSSCI 北大核心 2007年第02A期74-88,共15页 Journal of Financial Research
基金 财政部 证监会 大连商品交易所 上海证券交易所 东北财经大学联合研究课题成果一部分。
关键词 VAR 事后检验 组合保证金 期货市场 VaR, back-testing, portfolio margin, futures mark
分类号 F724.5 [经济管理—产业经济] F224 [经济管理—国民经济]
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参考文献31

  • 1鲍建平,王乃生,吴冲锋.上海期铜保证金水平设计的实证研究[J].系统工程理论方法应用,2005,14(1):33-36. 被引量：15
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二级参考文献40

  • 1徐海熙.论期货市场价格变动原因[J].江苏经贸职业技术学院学报,2004(1):32-35. 被引量：2
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共引文献64

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引证文献12

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金融研究
2007年 第02A期

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