Margin requirements and futures activity: Evidence from the soybean and corn markets
研究保证金要求对期货交易活动和波动性的影响，发现交易活动对保证金变化的敏感度随合约到期日临近而增加，保证金上调主要发生在高波动时期，起到保险作用。
This article investigates the impact of margin requirements on the trading activity and volatility in futures markets. We extend Hartzmark's (1986) model for futures demand to allow for the costs imposed by margins to change across the maturity of the contract. The model is tested employing data from the soybean and corn markets. We find that trading activity becomes more sensitive to margin changes as one gets closer to contract maturity, inconsistent with the notion that margins impose important opportunity costs on futures traders. Margins are found to have a negative impact on the trading activities of all types of traders, though there is some evidence that margin alterations bring about changes in the makeup of the market. The data also indicate that margins are likely to be hiked during periods of increased volatility, and reduced during periods of relative stability, thus suggesting that margin alterations serve primarily as insurance to futures exchanges. © 1999 John Wiley & Sons, Inc. Jrl Fut Mark 19: 433–455, 1999