169
Views
1
CrossRef citations to date
0
Altmetric
Regular Articles

The Impact of Decreased Margin Requirements on Futures Markets: Evidence from CSI 300 Index Futures

, , &

References

  • Antoniou, A., and P. Holmes. 2007. Futures trading, information and spot price volatility: Evidence for the FTSE-100 stock index futures contract using GARCH. Journal of Banking & Finance 19 (1):117–29. doi:10.1016/0378-4266(94)00059-C.
  • Bakoush, M., E. H. Gerding, and S. Wolfe. 2019. Margin requirements and systemic liquidity risk. Journal of International Financial Markets, Institutions and Money 58:78–95. doi:10.1016/j.intfin.2018.09.007.
  • Berlinger, E., B. Dömötör, and F. Illés. 2019. Optimal margin requirement. Finance Research Letters 31:239–49. doi:10.1016/j.frl.2018.11.010.
  • Bollerslev, T. 1986. Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics 31 (3):307–27. doi:10.1016/0304-4076(86)90063-1.
  • Cai, X.-H. 2010. The mechanism analysis and empirical test of stock index futures affecting stock market fluctuation. PhD diss., Fudan University.
  • Choy, S. K., and H. Zhang. 2010. Trading costs and price discovery. Review of Quantitive Finance and Account 34 (1):37–57. doi:10.1007/s11156-009-0118-y.
  • Chung, H.-M., and -M.-M. Hseu. 2008. Expiration day effects of Taiwan index futures: The case of the Singapore and Taiwan futures exchanges. Journal of International Financial Markets, Institutions and Money 18 (2):107–20. doi:10.1016/j.intfin.2006.06.004.
  • Coen-Pirani, D. 2005. Margin requirements and equilibrium asset prices. Journal of Monetary Economics 52 (2):449–75.
  • Engle, R. F. 1982. Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica 50 (4):987–1007. doi:10.2307/1912773.
  • Fishe, R. P. H., L. G. Goldberg, and T. F. Cosnell. 1990. Margin requirements in futures markets: Their relationship to price volatility. Journal of Futures Markets 10 (5):541–54. doi:10.1002/fut.3990100510.
  • Fleming, J., B. Ostdiek, and R. E. Whaley. 1996. Trading costs and the relative rates of price discovery in stock, futures, and option markets. Journal of Futures Markets 16 (4):353–87. doi:10.1002/(SICI)1096-9934(199606)16:4<353::AID-FUT1>3.0.CO;2-H.
  • Ghoshray, A. 2011. A re-examination of trends in primary commodity prices. Journal of Development Economics 95 (2):242–51. doi:10.1016/j.jdeveco.2010.04.001.
  • Hartzmark, M. L. 1986. The effects of changing margin levels on futures market activity, the composition of traders in the market, and price performance. Journal of Business 59 (2):47–80.
  • He, D.-L., and H.-L. Jing. 2017. The research on the volatility spillover effects of CSI 500 index futures. Management & Engineering 27:29–35.
  • Hsieh, S.-F., and T. Ma. 2009. Expiration-day effects: Does settlement price matter? International Review of Economics & Finance 18 (2):290–300. doi:10.1016/j.iref.2007.05.010.
  • Li, Q.-P., C.-J. Li, and X.-Y. Xiao. 2014. Research on the price spillover effect of agricultural products from the perspective of industry chain——Based on the ternary VAR-BEKK-GARCH (1,1) model. Finance &Trade Economics 10:125–36.
  • Lien, D., and L. Yang. 2005. Availability and settlement of individual stock futures and options expiration-day effects: Evidence from high-frequency data. The Quarterly Review of Economics and Finance 45 (4–5):730–47. doi:10.1016/j.qref.2004.06.002.
  • Miao, H., S. Ramchander, T.-Y. Wang, and D.-X. Yang. 2017. Role of index futures on China’s stock markets: Evidence from price discovery and volatility spillover. Pacific-Basin Finance Journal 44:13–26. doi:10.1016/j.pacfin.2017.05.003.
  • Narayan, P. K., and S. Popp. 2013. Size and power properties of structural break unit root tests. Applied Economics 45 (6):721–28. doi:10.1080/00036846.2011.610752.
  • Narayan, P. K., and S. Sharma. 2017. An analysis of time varying commodity market price discovery. International Review of Financial Analysis 57:122–33. doi:10.1016/j.irfa.2018.03.008.
  • Xiong, X., F. Wang, W. Zhang, and Y. Sun. 2009. Research on price discovery and volatility spillover between Xinhua FTSE A50 index futures and A-share market. Chinese Journal of Management 6 (11):1507–12.
  • Xiong, Z.-D., H. Wen, and Y.-P. Xiong. 2015. An empirical study on the volatility spillover effect between China’s foreign exchange market and stock market——Analysis of multivariate BEKK-GARCH (1,1) model based on wavelet multi-resolution. Chinese Journal of Management Science 23 (4):30–38.
  • Yan, M., -S.-S. Ba, and B. Wu. 2009. Price discovery and volatility spillovers of stock index futures markets in China. Systems Engineering 10:32–38.
  • Zanias, G. P. 2005. Testing for trends in the terms of trade between primary commodities and manufactured goods. Journal of Development Economics 78:49–59. doi:10.1016/j.jdeveco.2004.08.005.
  • Zhong, M., A. F. Darrat, and R. Otero. 2004. Price discovery and volatility spillovers in index futures markets: Some evidence from Mexico. Journal of Banking& Finance 28:3037–54. doi:10.1016/j.jbankfin.2004.05.001.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.