沪深300股指期货保证金设定的实证研究

The Study of Margin Level Settings for Shanghai Shenzhen 300 Stock Index Future

选取1997年1月1日至2007年10月19日间日内收益率数据,分别用指数加权移动平均法(EWMA)和综合性风险衡量指标体系(VAR)风险管理模型对沪深300指数进行实证分析,分析结果表明EWMA和VAR风险管理模型针对绝大部分风险都能有效防范.并建议我国保证金制度的设计应当以侧重风险控制来提高效率,在计算方法选择上应利用风险价格系数法等单一计量模型计算保证金水平,在规则中设定初始保证金水平不低于12%.

This paper firstly discusses the methods in margin level setting of International bourses,then makes a quantitative analysis of CSI 300 Stock Index based on the data from 1997 to 2007 by using the methods of EWMA and VAR model.The result shows that those methods can do well to keep away the market risks.Finally,some suggestions are put forward to set the margin in proper level.Based on the present circumstances,suggests that China′s margin level settings should focus on controlling the risks to ensure initial margin level not to be lower than 12%.