The Csi 300 Index Futures Dynamic Margin Setting Research And Efficiency Evaluation

CSI300index futures, as China’s first financial futures product, would not only deepen the understanding of these current techniques, but also help to answer whether or not, when and how to introduce other new financial instruments to the market, such as interest rate futures, currency futures.Taking into account the unpredictability and loss severity of extreme risk, this study insists that the margin-like "preventive" measures should not be used to deal with such risks, and it is recommended to set the dynamic level of margin under the rule of VaR to prevent the risk under general market volatility conditions. On margin settings, the SV model is a useful tool whose parameter estimation can be achieved using WinBUGS. For a class of situations of extreme risk the principle easing the market shockwave should be followed after.The research done first in this article involves the assessment of the efficiency of stock index futures margin set. This part includes both the construction of Quantitative Evaluation System and the assessment of the efficiency of current margin settings based on established evaluation system. The empirical results show that the current margin settings are too high, and the margin setting design under the SV model has improved the margin capital efficiency. The drawback of this assessment system is it cannot give the qualitative results with a single rule, requiring a combination of user preferences for the safety and efficiency of funds which leads to a subjective evaluation.The second job done is the adjustment of market volatility portrayed. Recognizing the differences in positions, this paper constructs an indicator reflecting the volatility of the overnight positions and the new open positions. This indicator compared to the traditional practice of yield volatility indictor is closer to the market, which may raise the reliability and practicality. The application of the indicators in the comparative analysis of the current margin setting method and dynamic margin setting method based on the SV model support to reduce the current level of margin setting, and re-verify the reliability of the method based on the margin settings of the SV model. In addition, it also shows that higher levels of margin capital efficiency based on the above-mentioned fluctuations indicators is in fact than in the assessment based on the rate of return. The third job done is under the premise of the expansion of the sample size and selection of more actively-traded sample to evaluate the applicability of the dynamic margin settings. Reliability has been found a decline based on the SV model, indicating that the method still needs improvement. This part of the work also involves the reliability analysis on substituting CSI300index in the past for the CSI300index futures and finds that this type of alternative research is insufficient.