價格限制與台股指數期貨保證金之估計.docVIP

價格限制與台股指數期貨保證金之估計 周建新1 于鴻福2 廖盈秋3 1,3高雄第一科技大學財務管理系 高雄縣燕巢鄉824大學路1號 Tel:07-6011000 ext 4017 Fax:07-6011041 E-Mail: jian@ccms.nkfust.edu.tw 2國立虎尾科技大學工業管理系 雲林縣虎尾鎮文化路64號 Tel:05-6315716 Fax:05-6311548 E-Mail: yuhf@nfu.edu.tw 摘 要 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。 關鍵詞：價格限制、期貨保證金、指數期貨 Margin Setting of TAIFEX Stock Index Futures With Price Limits Jian-Hsin Chou1 Hong-Fwu Yu2 Ying-Chiu Liao3 1,3 Department of Finance, National Kaohsiung First University of Science and Technology Tel:07-6011000 ext 4017 Fax:07-6011041 E-Mail: jian@ccms.nkfust.edu.tw 2 Department of Industrial Management, National Formosa University Tel:05-6315716 Fax:05-6311548 E-Mail: yuhf@nfu.edu.tw Abstract 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)