Research On The Influence Of Margin Level On Stock Market Futures Price Discovery Function

The reasonable design of the margin system is very important for the normal operation of the futures market.The margin system makes the investors do not need to pay all the price required by the contract,and as long as a certain proportion of the funds is paid as a performance guarantee,the normal transaction of futures trading can be realized.Therefore,this paper,taking the adjustment of margin level as the time node,uses two aspects of static analysis and dynamic analysis,studies the price discovery ability of the Shanghai and Shenzhen 300 stock index futures market,and further analyzes the influence of margin adjustment on the futures price discovery function.In the static analysis,we find that there is a long-term cointegration relationship between the futures price and the spot price by cointegration test.The VECM model is used to analyze the price guidance relationship of the stock market in the stock index period.It is found that there is no obvious advantage in the price discovery function during the period of the just listing of the stock in the 300 stock index period.Potential.With the passage of time and the development of the market,the active degree of the stock index futures market has been significantly improved,and the enthusiasm of investors to participate in futures trading is also increasing,and the price discovery function occupies a dominant position.However,in 2015,the Chinese financial futures exchange made a severe policy adjustment,significantly increased the margin ratio,the trading volume and holding volume of futures contracts continued to decline,and the price discovery function of stock index futures was suppressed.In the dynamic analysis,the MIS model is established to calculate the daily MIS value of Shanghai and Shenzhen 300 stock index futures.It is found that the price discovery function of the Shanghai and Shenzhen 300 stock index futures is weak in the early stage of the listed trading,but the price discovery ability of the Shanghai and Shenzhen Stock index futures is weaker with the time advance and the margin level downregulation,but in August 26,2015,the Chinese financial period began.The substantial improvement in the margin level of the stock exchange has affected the normal function of the price discovery function,which is basically consistent with the conclusion of the static analysis.Through the combination of theoretical analysis and empirical analysis,this paper finds that the measures to improve the margin level during the period of the crash may restrain the substantial fluctuations in the stock index futures market in the short term,but it is to restrain the liquidity of the stock index futures market,and the essence is to suppress the whole stock index futures market.The normal functioning of the function is not conducive to the healthy operation of the market for a long time.As an effective risk hedging tool,stock index futures is to avoid the risk of spot market,and it has strong speculative nature,and the advantages of its leveraged transaction and low transaction cost will help to reduce the fluctuation of spot market.It is very important to set reasonable margin level and monitor the stock index futures market reasonably,and fully display the unique function and function of risk management of stock index futures.Therefore,in the special period,because the construction of the A stock market is still not perfect in our country,it is necessary for the regulatory layer to take a series of important decision deployment to restrain the excessive speculation and stable capital of the market.However,the too strict control measures taken by the stock index futures for the cause of the disaster are not only a derivative of the stock index futures in the crisis.Time to play a role in the long run is not conducive to market stability.Therefore,the regulatory authorities should set up the optimal margin level to effectively control the risk of the whole market and attract more investors through reasonable transaction costs,namely,to seek balance among the two parties in maintaining the security and liquidity of the transaction.