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題名:價格限制與臺股指數期貨保證金之估計
書刊名:中華管理學報
作者:周建新 引用關係于鴻福 引用關係廖盈秋
作者(外文):Chou, Jian-hsinYu, Hong-fwuLiao, Ying-chiu
出版日期:2005
卷期:6:1
頁次:頁37-55
主題關鍵詞:價格限制期貨保證金指數期貨Price limitsFutures marginStock index futures
原始連結:連回原系統網址new window
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  • 被引用次數被引用次數:期刊(1) 博士論文(0) 專書(0) 專書論文(0)
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  • 共同引用共同引用:3
  • 點閱點閱:41
     期貨市場交易機制的運行是以保證金為核心,因此如何設計一合適之保證金水準,對交易所而言是十分重要的課題,保證金水準的設定不僅要考慮自身可能面臨的違約風險,還需考量市場的流動性,另外台灣股市有7%漲跌停限制,期交所在設計最適之保證金水準時,必需將此一限制因素納入考慮。本文依據Broussard(2001)的作法,並以台股期貨、金融期貨和電子期貨等三種期貨契約為標的,探討在不同價格限制下之期貨保證金水準之違約機率的差異。經由實證結果發現:(1)7%價格限制條件比6%和5%價格限制條件所設算出的違約機率高,這種現象的產生是由於7%價格限制條件可容忍較大的價格變動之故;(2)以期貨日內價格最大值減最小值,因隱含較大的價格波動,故在相同之保證金水準下,較其他計算方法得到較大之違約機率;(3)電子期貨因波動性較大之緣故,在相同之保證金水準下,違約機率高於台股期貨和金融期貨。
     It is a very important issue for the futures clearinghouse to design the appropriate margin because the operation of the whole futures markets is dependent upon the margin mechanism. The setting of appropriate futures margin must both consider the probability of default risk and the liquidity of the futures market. Meanwhile, there are 7% price limits in TAIFEX futures contracts, it must include this special constraint for the design of appropriate futures margin. This paper explores the method proposed by Broussard (1999) to design the appropriate margin levels for the domestic futures contracts, and shows the default probability under different kinds of margin levels. The evidences show that : (1) In 7% price limits constraint, the default probability is higher than the price limits of 6% and 5% ; (2) The extreme data calculating from intraday highest-to-clear futures price indicates the highest default probability under the same margin level;(3) The electronic sector index futures should set the highest margin level because of its highest volatility.
期刊論文
1.Hartzmark, M.(1986)。The Effect of Changing Margin Levels on Futures Performance。Journal of Business,59(2),147-180。  new window
2.蔡莉芸(20020200)。臺灣期貨保證金合理性之分析。企銀報導,20(2)=219,18-28。  延伸查詢new window
3.Warshawsky, M. J.(1989)。The Adequacy and Consistency of Margin Requirements: The Cash, Futures, and Options Segments of the Equity Markets。Review of Futures Markets,8(3),420-437。  new window
4.Bernake, B.(1990)。Clearing and Settlement During the Crash。Review of Financial Studies,3,133-151。  new window
5.劉德明(19930100)。論期貨、期貨選擇權與選擇權期貨之保證金制度。證券市場發展,17,1-18。new window  延伸查詢new window
6.Longin, F. M.(1996)。The Asymptotic Distribution of Extreme Returns。Journal of Business,69,383-408。  new window
7.Kofman, P.(1993)。Optimizing Futures Margins with Distribution Tails。Advances in Review of Futures Markets,19,127-152。  new window
8.Longin, F. M.(1999)。Optimal Margin Level in Futures Markets: Extreme Price Movements。The Journal of Futures Market,19(2),127-152。  new window
9.Hunter, W. C.(1986)。Rational Margins on Futures Contracts: Initial Margins。Review of Research in Futures Markets,5,160-173。  new window
10.Cotter, J.(2001)。Margin Exceedness for European Stock Index Futures Using Extreme Value Theory。Journal of Banking and Finance,25,1475-1502。  new window
11.Broussard, J. P.、Booth, G. G.(1998)。The Behavior of Extreme Values in Germany’s Stock Index Futures: An Application to Intradaily Margin Setting。European Journal of Operational Research,104,393-402。  new window
12.Brennan, M.(1986)。A Theory of Price Limits in Futures Markets。Review of Financial Studies,3,133-151。  new window
13.Telser, L. G.(1981)。Margins and Futures Contracts。The Journal of Futures Markets,1(2),127-152。  new window
14.Broussard, J. P.(2001)。Extreme-Value and Margin Setting With and Without Price Limits。The Quarterly Review of Economics and Finance,41(3),365-385。  new window
15.曹懋鍇、周恆志(200209)。極端值理論於指數期貨保證金設定上之應用。亞太社會科技學報,4(1),69-94。  延伸查詢new window
16.Booth, G. G.、Broussard, J. P.、Martikainen, T.、Puttonen, V.(1997)。Prudent Margin Levels in the Finnish Stock Index Market。Management Science,43,1177-1188。  new window
17.Dewachter, H.、Gielens, G.(1999)。Setting Futures Margins: the Extremes Approach。Applied Financial Economics,9,173-181。  new window
18.Gnedenko, B. V.(1943)。Sur La Distribution Limite Du Terme Maximum d'une Serie Aleatorire。Annals of Mathematics,44,423-453。  new window
會議論文
1.Login, F. M.(1995)。Optimal Margins in Futures Markets: A Parametric Extreme-based Approach。Ninth Chicago Board of Trade Conference on Futures and Options。Bonn。  new window
研究報告
1.莊士德(1998)。我國股價指數期貨交易合理保證金水準之設定。台灣期貨交易所。  延伸查詢new window
學位論文
1.陳柏翰(2002)。價格極端波動下之謹慎保證金政策(碩士論文)。國立中央大學。  延伸查詢new window
2.謝秀虹(2002)。台灣期貨市場保證金水準設定之研究(碩士論文)。國立高雄第一科技大學。  延伸查詢new window
3.陳恆杰(2001)。臺灣加權股價指數期貨最適保證金之研究(碩士論文)。高雄第一科技大學。  延伸查詢new window
圖書
1.Embrechts, P.、Kluppelberg, C.、Mikosch, T.(1997)。Modeling Extreme Events: for Insurance and Finance。Berlin:Springer。  new window
2.Netner, J.、Wassermann, W.、Kunter, M.(1989)。Applied Regression Models。Homewood, IL:Richard D. Irwin, Inc.。  new window
3.Leadbetter, M. R.、Lindgren, G.、Rootzén, H.(1983)。Extremes and Related Properties of Random Sequences and Processes。New York, NY:Springer。  new window
 
 
 
 
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