Study On The Margin Level Setting Of CSI300Stock Index Futures

Along with economic globalization and financial integration, economic structure isinvolving incredible changes which is influencing global financial environment andfinancial markets. Free flow of capital, diversity of invest instrument, innovation offinancial business is bring large benefits as well as risks for investors and institutions,leading financial market more volatile and more risks. In such complicated environmentstock index futures as a both investing and hedging financial instrument is attractinginvestors in the world, because stock index futures could provide market participants away to hedge risk. Since its inception in1982, it developed at a fast pace and welcomevery much. An important feature of the futures market is the margin system, so is stockindex futures market. The determination about the level of margin is the core of thesystem which influences the effectiveness of the margin system a lot. Stock index futureshave just been launched in China’s financial market therefore the market is involvingimperfect mechanism and immature system. In order to develop the market further greatjoint effort should be made. The margin levels are set at a certain percentage of thecontract value without direct relationship with price changes which is called static marginsystem. On the one side too high margin level will increase investment cost, decreasingcapital efficiency, desire of investing, amount of business and position even though itcould cover risk of changing price very well. On the other side，too low margin levelcould not cover the whole risk of changing price even bringing more default risk. In theearly time stock index futures had emerged in developed countries with more maturemargin system for example more sensitive margin model. Therefore it is very necessaryto take these methods as references and establish our own dynamic margin setting modelwith our market characteristics under different risks.This thesis is making use of VaR-x estimation methods in the extreme value theoryand GARCH-VaR to set suitable stock index futures margin level. First of all itintroduces theoretical basis of stock index futures margin setting, including reason theory,method theory, and factors which could affect margin level. Secondly it introducescontents of stock index futures margin level including different methods, different sortsof margin and takes three typical futures exchange market from three countries as an example. Thirdly, it selects the IF1012contract data of CSI300stock index futures forresearch and empirical analysis with VaR-x estimation method in extreme value theoryand GARCH-VaR method. After a series of statistical tests it constructs the GARCH-Mmodel to calculate the VaR, the actual daily loss and margin levels as well as margin levelof tail index with VaR-x tail estimation method. And then it tests the accuracy ofprediction for stock index futures margin level under market price fluctuations risk withthe GARCH-VaR method and the extreme value theory. In the end it provides referencesand methods for China’s stock index futures margin level setting method via comparisonof these two models．...