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研究生:何雯琳
研究生(外文):Wen-lin Ho
論文名稱:指數期貨保證金調整機制與市場關係之研究
論文名稱(外文):Relationship between Index Futures Margin Changes and Financial Market
指導教授:白宗民白宗民引用關係
指導教授(外文):Tzung-min Pai
學位類別:碩士
校院名稱:南華大學
系所名稱:財務金融學系財務管理碩士班
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2009
畢業學年度:97
語文別:中文
論文頁數:38
中文關鍵詞:期貨槓桿率波動期貨保證金
外文關鍵詞:Futures MarginLeverageVolatility
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  本文主要探討保證金與期貨和現貨市場的關係,讓投資者能以最簡便的方法預測保證金何時會改變,及保證金改變後如何影響市場的變化。研究發現,多、空頭的市場狀況會影響保證金調整的變化。市場的「槓桿率、波動程度、期貨和現貨的相對價差及時間效果」與保證金的調升變化有關,除了槓桿率、波動程度、期貨和現貨的相對價差及時間效果外「期貨和現貨之相對日內波動與歷史波動」與保證金的調降變化有關。因此調升保證金與調降保證金的預測因子有些許不同。當加入時間效果預測時發現,期交所對於過去和現在的比較下有壓低保證金金額的現象。以平均22日之資料預測效果最好,而且預測一個月後保證金調整之機率最好。
 
  最後探討調整保證金對市場影響。發現保證金的調整不會改變期貨與現貨市場報酬率之趨勢,保證金調升後會使相對價格收斂,並使逆價差的情況較為趨緩。調降保證金後會使期貨之累積報酬率原本下降的速度加劇,並且可刺激市場的歷史波動,但調降後會使市場的相對價差擴大。
  This research explores the relationship between the margins, the futures, and the stock markets. Investors can use the most convenient way to predict the change of guarantees. And investors can know the margins how to affect the market after changing. The research shows that the bull market and bear market conditions will affect the margin change. For the markets, “the leverage, the volatility, the futures and stocks prices, and times effects” are about the margins which to rise. Besides those situations, “the daily and historical volatility of the futures and stokes” also relates to the margins which to reduce. Hence, it is different to the predictive elements of the margins which is rise or down. We can know a phenomenon which is the past margins lower than now after adding the times effect. It is the best to average 22 days for prediction, and it is perfect to predict the probability of margins adjustments after a month, too.
 
  Finally, we explore the impact which is the adjustments of the margins on the market. Adjusting the margins can not change a tendency toward the futures, and the rate of return in the stock markets. After the margins rises, it can make the prices convergence. And the inverse prices will improvement. However, if the margins drop, it will cause the rate of return which drops fast. Although the situation can stimulate to the historical volatility in the stock markets, the prices difference will be increased after the margins drops.
表 目 錄 vii
圖 目 錄 viii
 
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 3
第三節 論文架構 4
 
第二章 文獻探討 5
第一節 保證金水準與違約風險 5
第二節 保證金與市場波動關係 5
第三節 期貨保證金的最適水準 8
 
第三章 研究設計 10
第一節 樣本說明、資料來源 10
第二節 變數定義 10
第三節 實證模型 13
 
第四章 實證結果 18
第一節 敘述統計分析 18
第二節 保證金調整決策分析 22
第三節 保證金調整之影響分析 25
 
第五章 結論與建議 31
第一節 結論及分析 31
第二節 後續研究建議 32
 
參考文獻 33
一、 中文文獻 33
二、 西文文獻 33
 
附錄A 35
一、中文文獻
1.張傳章(2006),期貨與選擇權,雙葉書廊。
 
2.沈中華、李建然(2000),事件研究法–財務與會計實證研究必備,華泰文化。
 
二、西文文獻 
1.Ackert, L., and Hunter, W. (1990), “A sequential test methodology for detecting futures market disruption with application to futures margin management,” Review of Futures Markets, 9, pp 318-341.
 
2.Anderson, Ronald. (1981) “Comments On Margins And Futures Contracts,” Journal of Futures Markets, V1(2), pp 259-264.
 
3.Brennan, M. (1986) “A theory of price limits in futures matkets,” Review of Financial Studies, 3, pp 133-151.
 
4.Chan, Kam C., and Fung, Hung-Gay, and Leung, Wai K. (2004) , “Daily volatility behavior in Chinese futures markets,” Journal of Int. Fin. Markets, Inst. and Money, 14, pp 491-505.
 
5.Chng, Michael T. (2004), “The trading dynamics of close-substitute futures markets: evidence of margin policy spillover effects,” Journal of Multinational Financial Management, 14, pp 463-483.
 
6.Dutt, H. R., and Wein, I. L. (2003), “Revisiting the empirical estimation of the effect of margin changes on futures trading volume,” The Journal of Futures Markets, 6, pp 561-576.
 
7.Fabozzi, Frank J., and Francis, Jack Clark. (1979), “Mutual Fudn Systematic Risk For Bull and Bear Markets: An Empirical Examination,” The Journal of Finance, 34, pp 1243-1250.
 
8.Francois, M. Longin (1999), “Optimal margin level in futures markets: extreme price movements,” The Journal of Futures Markets, 2, pp 127-152.
 
9.Hardouvelis, G. (1990), “Margin requirements, volatility, and the transitory component of stock prices,” American Economic Review, 80, pp 736-762.
 
10.Hartzmark, M. (1986), “The effect of changing margin levels on future market activity, the composition of traders in the market, and price performance,” Journal of Bussiness. 59, 2,pp 147-180.
 
11.Schwert, G. (1989), “Margin requirements and stock volatility,” Journal of Financial Services Research, 3, pp 153-164.
 
12.Telser, L.G.(1981), “Margins and futures contracts,” Journal of Futures Markets, 1, Summer, pp 225-253.
 
13.Hardouvelis, G. A., and Kim, D. (1995), “Margin requirements, price fluctuations and market participation in metal futures,” Journal of Money, Credit, and Banking, 107, pp 1333-1370.
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