The Research on the Adequacy of Margin Requirements:The Case of MSCI Taiwan Stock Index Future.

• Main Authors: Chen, Jr-Cheng, 陳智誠
• Other Authors: Lee Tsun-Sion
• Format: Others
• Language: zh-TW
• Published: 1998
• Online Access: http://ndltd.ncl.edu.tw/handle/78748068925139396523

碩士 === 國立臺灣大學 === 財務金融學系研究所 === 86 === 1997年1月9日新加坡國際金融交易所( SIMEX)開始交易摩根台灣 股價指數期貨合約，並以合約值3.5%的超低起始保證金水準來進行交 易。這樣的保證金水準在搶攻市場佔有率的成份頗重，但究竟是否能 達成期貨保證金原始目的－－達到履約保證以消除違約風險，十分值 得爭議，尤其臺灣股市的特性正是波動幅度劇烈。因此本研究希望以 SIMEX的經驗為借鏡，對我國日後的發行量加權股價指數期貨的保證 金政策提供助益。 本研究首先利用「保證金與價格波動比模型」，衡量 SIMEX摩根 台股指數期貨之保證金額度對於每日價格波動風險的保護程度，以檢 測 SIMEX的保證金政策。結果發現到該期貨的低保證金水準只是過渡 性的策略，除了開始交易初期的保證金水準的確較低外，其他時間的 「每週保證金與價格波動比」多維持在2至4的水準，符合國際慣例。 其次是利用「保證金與價格波動比模型」與兩種「違約風險偵測 模型」計算出合理的台股指數期貨保證金水準，以推斷 SIMEX進行保 證金修正時所可能採取的理論依據與波動性指標。結果發現 SIMEX調 整保證金的依據，仍較傾向於保證金與價格波動比模型，採用的波動 性指標則是「最大可能波動性」。 本研究最後為即將上市的TAIMEX發行量加權股價指數期貨制定一 套保證金管理政策，並計算該期貨於1998年1月9日上市後的保證金水 準大約是在6.3812%。 SIMEX has introduced MSCI Taiwan Index Future since Jan 9,1997. It follows a low margin requirement in order to acquire market shares when the future contract is introduced. However, the low margin requirement may not treat as a performance guarantee to reduce default risk. Especially, Taiwan stock market is known for its high volatility. The main purpose of this study is to find out what we can learn margin policy from SIMEX about the introduction of index future. First, "Margin-volatility model" is used to analyze the degree of protection provided by initial margin in the SIMEX MSCI Taiwan Index Future market. Results shows low margin policy of SIMEX is a temporary strategy. Except for the early period, weekly margin- volatility ratio range is from 2 to 4. It meets the usual practice of other countries. Secondly, "Margin-volatility model" and "Default-risk-detecting model" is used to set adequate margin level and to ascertain what ways and what volatility benchmark SIMEX pursued. It is found that SIMEX is liable to make use of Margin-volatility model, and the suitable volatility benchmark is "Likelihood Volatility". Finally, after assuming that Weighted Index Future of TAIMEX has been introduced since Jan 9, 1998, I make a margin policy and compute margin level for the future, which is about 6.3812%.