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The Empirical Research of the Relationship Between Futures Price Volatility and Margin Level Change

Author: QiuZhe
Tutor: WangYuanLin
School: Dongbei University of Finance
Course: Quantitative Economics
Keywords: margin level the futures price volatility Poisson jump-diffusionmodel MLE
CLC: F224
Type: Master's thesis
Year: 2013
Downloads: 4
Quote: 0
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Abstract


In today’s society, the futures market has become an integral part of the financial markets, has a very important impact the development of the national economy of a country.2000Former U.S. Treasury Secretary Larry Summers at the annual meeting of the Futures Industry speech that:"The U.S. economy in the past10years of successful development, futures played a key role." The economy shows more and more globalization, China, as a new economic power, and is trying to become an economic powerhouse, the healthy development of China’s futures market is essential. Nobel Prize-winning economist, once famous Miller, that the futures market is truly an essential part of the market economy.China’s futures market is an emerging market, as opposed to a mature futures market is still a number of gaps in the full liberalization of China’s financial markets and financial derivatives launched circumstances, explore and summarize China’s futures market volatility characteristics, margin levels and two the relationship between, you can strengthen and improve the current development of China’s futures market, and promote the normal operation of China’s futures market to provide assistance for the development of the financial derivatives market to provide reference.In this paper, China’s futures market price fluctuations reality, the first of its price volatility characteristics of the empirical research, the Poisson jump-diffusion model is introduced to study them to price fluctuations, thus further price volatility is decomposed into normal and abnormal price fluctuations price fluctuations, using the maximum likelihood estimation method to find two kinds of price fluctuations in the difference between before and after the change in margin. Then, according to China’s futures market price fluctuations, build margin levels and the relationship between the futures price volatility regression equation, in-depth analysis of China’s futures market level of margin changes and volatility in futures prices between goods. Through empirical analysis, we get:Poisson jump-diffusion model is applicable to futures price volatility of study, changes in their futures margin exists between market volatility is not significant negative correlation, and thus, although futures margin charged by raising number (percentage) can be changed by the transaction costs of trading, and financial leverage of futures trading can change the effect of increasing or decreasing lead trader positions, to prevent excessive speculation, but can not effectively reduce the volatility of futures prices. In China’s futures market, the futures margin system is not suitable for use as policy tool curb price volatility, but only as a preventive mechanism of customer default.In summary, this paper margin levels in China’s futures market and price volatility of the actual situation, from a combination of theoretical and empirical perspective on China’s futures market volatility and changes in the level depth margin systematic research on the futures market and futures regulators traders will have positive theoretical value and practical significance.

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