The Research Of Margin Setting And The Influence Factor In China

In recent years, to active futures market as well as to reduce the cost of trading, the major Chinese exchange had made some reductions of existing varieties margin ratio. It will be an important issue to revitalize China’s futures market.At home and abroad, much researches of margin ratio had been made, but these theories were based on the international market trading system. No further adjustments had been made in these research based on the China futures exchange system. Which make a great discrepancy between the actual risk and the theoretica risk.In this research, through practical study of exchange system default risk, a new margin setting model was put forward. The margin ratio should be a little higher than the price limit which should cover the vast majority of daily fluctuations. On the basis of theoretical research, we studied the COMEX and SHFE gold futures date from January 5, 2010 to March 26,2015 and calculate the price limit and margin rate by VAR model.Found there is big room for downward adjustment of the margin ratio.There is also a comparative study of flow and the futures price before and after China futures margin ratio changing. As a conclusion, it is useful to resolve accumulation risk of the futures market by raising the margin ratio.