| China stock market is new-fashioned market that bears wider fluctuation range and frequency. This means that investors gain profits and confront with risks at the mean time. Investors can evade non-system risks through combination of blue chips and growth shares. However, they are unable to evade systematic risks of the market. Stock index futures are contracts that take stock index as the subject matter. Stock index futures are derivative financial asset that generates in order to evade risks in spot stock market, especially systematic risks, and to promote sound development of spot stock market. The risk management system of stock index futures market mainly includes the premium system, the price-limit system, speculative position limit system, and the forced liquidation system. The first two systems most directly influence the routine dealings. The premium system includes aspects like, setting, calculation method, charging method, clearing frequency, and account management of the premium. Setting of premium is the prerequisite that ensures the efficiency and safety of stock price index dealing. Therefore, based on stock price index future premium system theory, this thesis analyzes and estimates the premium standard in China through empirical analysis and comparisons between the premium system of stock index futures at home and abroad, under the guidance of the cautious principle and the chance-cost principle.The researching subject of the thesis is analyzing EWMA, GARCH, and POT, estimating margins of stock index futures, summarizing the setting up margins and providing supervisors with policies and suggestions. This thesis consults researching results of previous literature reviews, simulates the distribution of return serial with different distribution hypotheses, and appropriately deals with characteristics of excess Kurtosis and fat-tail distribution of the return serial. After concluding the margins methods adjusted to the stock index futures, we add the price-limit to the POT model and analyze the influences of raising and dropping range limit on setting up margins. The thesis can be divided into five parts.Chapter one introduces the background and researching significance of this thesis, and briefly reviews and comments previous studies of stock index futures margins home and abroad. Studies abroad mainly analyze factors influencing margins of futures market, especially stock index futures market, methods and models in setting margins. Studies at home include researching results in stock index futures market in China with model estimation. Previous studies provide guidance to the completion of this thesis, for instance, distribution characteristics of futures yield rate and factors influencing margins. At last, the researching methods and organization of this thesis are introduced.Chapter two probes into the theory of setting margins of stock index futures. The basic concept, functions, risks of stock index futures, and the content, characteristics, functions of premium system are briefly introduced. Then an analysis and comparison of premium systems and common calculation method of premiums at home and abroad is conducted. Based on premium system in other countries, three suggestions are proposed for premium system in China. Firstly, establish a dynamic premium system. The static charging method of stock index futures in China does not take risks of market into consideration, thus are unable to fight against risks brought about by changes of prices and other factors of stock index futures. Premium systems abroad adopt a dynamic charging method according fluctuation rate of the market. Therefore, premium systems abroad can effectively manage price risks of futures market and evade risks in stock index futures market. Dynamic premiums charge few when market remains stable to increase flexibility of the market and the enthusiasm of stock index futures market participants. Secondly, charge premiums according to net position of the account. Stock index futures in China charge premiums according to total position. Net position premium abroad charges money according to hedging net position of the account. Capitals are less occupied and exchange fees are reduced. Thirdly, set settling institutions as independent legal persons. The settling institutions in China are departments of financial futures bourse which are related in profit. If the bourse adopts a settling system to attract customs and make profit, malign buying and selling exchanges may influence the stability of financial market. The function of settling institutions requires the bourses to be independent legal persons. At last, we explain the character of setting up margins. Through comparing the advantages and disadvantages of parameter, semi-parameter, and non-parameter in setting margins of stock index futures, we conclude that the stock index futures margins should be studied through parameter and semi-parameter methods.Chapter three is the model to set the margin of stock index futures. This part mainly introduces the way to calculate margins with EWMA, GARCH, and POT, "including the estimation of model parameter, calculation of the fluctuation rate of index yield, and the calculating process of margins. EWMA endows different importance to data samples in chronic sequences by taking attenuation factors into consideration. The nearer the data are to the estimated value, the more important they are, vice versa. The margin of stock index futures in China is estimated through calculating the fluctuating rate of yield of the stock index futures. GARCH construct models through using computation analyzing software and adopting Maximum Like-hood Estimate with conditional variance equations among random errors. The margin of China is estimated through calculating the fluctuating rate of yield of the stock index futures. POT sets valve value, observes the extreme value that exceeds the valve value in samples, and get the margin of stock index futures according the estimated parameter. At last, the way to test the efficiency of margins through Kupiec testing method are introduced.Chapter four provides demonstration of setting margins of stock index futures. Firstly, the source of sample data and the time of sample selection are introduced. Then Shanghai Shenzhen Exchange 300 Index sequence is studied, including the stability test, relativity test, normality test, and heteroskedasticity test. The structural features of sample data are analyzed to improve accuracy and effect of sample data. Then we estimate the margin of stock index futures in China with above-mentioned approaches like EWMA, GARCH, and POT. The effect is tested with Kupiec testing method. Comparisons are conducted among margins of the stock index futures deduced from the above three models.1. EWMA takes normal distribution as the prerequisite and underestimates the margin, thus results in defaulted probabilities. What's more, EWMA employs the attenuation factors which will also underestimate risks.2. Through comparing and analyzing the margin under the condition of normality distribution, Student-t distribution, and GED of the GARCH model, we may conclude that GED distribution can better account for the distribution features of Shanghai Shenzhen Exchange 300 Index.3. Margins obtained with the POT model slightly overestimate the actual risks, but still more stable and prudent than standards with the GARCH model. On the basis of the cautious principle, certain risk reserves can effectively fight against default risks in the market. At last, previous studies state that price-limit, market liquidity, fluctuation of spot market price, and customers influence the setting of margins of stock index futures. Based on previous studies, we also add price-limit to the POT model. Through One-dimensional Linear Regression (OLS) analysis of different price-limits and margins within the limits, we may conclude how much a percentage will influence the margins of stock index futures in China.Chapter five is the conclusion part. First, setting a dynamic margins on stock index futures will increase difficulty in supervision and management of market. China Financial Futures Exchange can estimate the margins of China combining the GARCH-GED model and POT theory. On the one hand, we should take the margin obtained from POT estimation as the margin of stock index futures in China. On the other hand, we should dynamically adjust the margin according to GARCH-GED model by taking risks in the market and fluctuation index into consideration. As the stock index futures in China become increasingly mature and perfect, we can consult overseas experience and base on chance-cost principle in setting margins. We can grade investors according to their confidence level and set margins according to the confidence level (95%,99% and 99.5%). With the combination of the above two models, we can expand the scale of stock index futures market in China, increase the liquidity of the market, and promote the sound development of the financial market in China. Secondly, the shortcomings of this thesis and expectations to premium system of stock index futures in China are explicitly discussed. It is hoped that more people can study the margin of stock index futures, probe into the factors that influence the premium standard, and develop a premium system adaptable to investing risk of stock index futures market to better evade and control risks. |
PDF Full Text Request