The effect of margin level on the stock index futures market

摘要

Since the CSI 300 index futures launched by the China Financial Futures Exchange in 2010, stock index trading has become another central issue in domestic financial research. This study determined the theoretical relationship between the margin level and market trading volume by using the definition of margin liquidity cost in a mathematical analysis model, and derived the general conclusions about the connection of market margin and market liquidity and volatility on the theoretical point. Furthermore, the study verified the validity of the theoretical conclusions by using the real trading data of S&P500 index futures contracts. At last, this article concludes: stock index futures margin level has a positive impact on the liquidity of the stock index futures market, and a reverse impact on market volatility.