The effect of differentiated margin on futures market investors' behavior and structure An experimental research

摘要

Purpose-The purpose of this paper is to empirically analyze the role of differentiated margin system in leading investors' investing behavior and then optimize investor structure in futures markets.Design/methodology/approach-Using economic experimental research method,this paper designs and conducts a futures market experiment according to experimental research's basic norms,thus acquiring needed and credible empirical data.Findings-By analyzing the experimental data,it is found that compared with situations in futures markets that implement uniform margin system,investors' (especially speculators') futures open position and the ratio of their open position and futures turnover are both significantly higher,in futures markets that implement differentiated margin system.On the other hand,differentiated margin system has no effects on hedgers' futures turnover,but significantly reduces speculators' futures turnover.Research limitations/implications-The findings suggest that compared with uniform margin system,differentiated margin system is beneficial to effectively restrict both speculators' and hedgers' speculating behavior and lead hedgers' market participation.Practical implications-In order to resolve the problem of unreasonable investor structure in China's futures market,i.e.lack of hedgers and over-speculating China's futures market's regulators should reform the margin system and adopt differentiated margin system to lead investors' rational behavior and optimize investor structure.Originality/value-This paper empirically analyzes and verifies,for the first time,the roles of differentiated margin system in affecting investors' investing behavior.The futures market experiment designed and used in this study is a pioneering and exploratory experiment.