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題名：漲跌幅限制，保證金與違約風險
作者：林美珍 引用關係
作者(外文)：Mei-Chan Lin
校院名稱：國立中央大學
系所名稱：財務管理研究所
指導教授：俞明德
周賓凰
學位類別：博士
出版日期：1999
主題關鍵詞：漲跌幅限制；保證金；違約風險；Price Limits；Margin Requirements；Default Risk
原始連結：連回原系統網址new window
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漲跌幅限制，保證金與違約風險
一、衡量漲跌幅限制對違約風險與保證金之影響
本文旨在探討漲跌幅限制對保證金和違約風險的影響。漲跌幅限制生效後，前期未反應之價格變化將累積並持續反應於後續交易日之價格上，此遞延效果將增加次日之交易中斷風險和違約風險。為瞭解此一遞延效果是否造成漲跌幅限制下之交易成本與違約機率皆較未存在漲跌幅限制時高，而否定漲跌幅限制之存在價值，本文遵循Brennan(1986)之理論架構，將模型擴展為二期。研究發現如果交易者並未擁有與均衡期貨價格相關的訊息，則漲跌幅限制雖然可以取代部分保證金以消除違約機率，然而流動性成本卻大幅提高，使得合約成本比未設立漲跌幅限制的成本高；如果交易者擁有與均衡期貨價格相關的訊息，則使合約成本最小的最佳保證金並未因漲跌幅限制之設立而降低。所以如果漲跌幅限制只是遞延價格調整至均衡的過程，則考慮遞延效果後漲跌幅限制不但無法降低違約風險，而且極小化合約成本之最佳保證金要求並未因漲跌幅限制之存在而降低，故漲跌幅限制似乎無法取代保證金以控制合約成本；然而如果漲跌幅限制具有冷卻效果可以降低漲跌幅限制生效後的價格波動和改變預期價格變化，則漲跌幅限制仍然可以取代保證金以控制合約成本。
二、現貨漲跌幅限制與期貨漲跌幅限制的有效性
本文旨在探討是否現貨市場設立漲跌幅限制可以進一步提昇期貨漲跌幅限制降低期貨保證金和違約風險的能力。結果顯示期貨與現貨市場皆存在漲跌幅限制，可以進一步提昇期貨漲跌幅限制降低期貨保證金和違約風險的能力；而且當這二個市場價格變動的相關性越大時，現貨漲跌幅限制越能提昇期貨漲跌幅限制降低保證金和違約風險的能力。此外，現貨漲跌幅限制似乎可以取代期貨漲跌幅限制以控制合約成本。而令二個市場的漲跌幅限制水準相同的合約設計，雖然不符合效率合約設計的原則，合約成本和最佳保證金仍然低於未設立現貨漲跌幅限制時的成本與保證金。
Price Limits, Margin Requirements and Default Risk
Essay 1: On the effects of price Limits on margin requirements and default risk
This essay investigates if the imposition of price limits
can reduce the default risk and lower the effective margin requirement for a self-enforcing futures contract by considering one more period beyond Brennan''s (1986) one-period model that further takes into account the spillover of residual shocks due to price limits. The results show that, when the traders receive no additional information, price limits can reduce the margin requirement and eliminate the default probability by, however, introducing a higher liquidity cost due to trading interruption. As a result, the total contract cost is higher than that without price limits. When the traders receive additional signal about the equilibrium price, I find that the optimal margin remains unchanged with or without the
imposition of price limits, a result that is in sharp contrast with Brennan''s assertion. Hence, I conclude that price limits are ineffective in improving the performance of a futures contract if price limits only serve to delay the price adjustment process. Nonetheless, if price limits have a cool-off effect that reduces the volatility and changes expected returns following a limit move, it may still serve as
a partial substitute for margin requirements.
Essay 2: Spot price limits and the effectiveness of futures price limits
This essay investigates if the imposition of spot price limits can further reduce the default risk and lower the effective margin requirement for a self-enforcing futures contract.
The results show that, without the imposition of spot price limits, futures price limits have an effect in reducing the margin requirement and the contract costs. When the limits are placed in force on the spot market, the effectiveness of spot limits on further reducing the default risk and margin is evidently displayed. In addition, the greater the information comes from the spot market, the more the spot price limit rule constrains the information available to the losing party about the extent of his loss, then the default probability, contract costs and margin requirements are lowered to a greater degree. Furthermore, for a given margin, spot price limits and futures price limits can be substituted for each other for a contract to be self-enforcing. On the other hand, to make the price limit levels in both markets parallel, even though it does not coincide with the efficient contract design, has lower contract cost and margin requirement than that without the imposition of spot price limits.
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