调整期货交易规则可以降低投资者杠杆吗?  

Can adjustments of futures trading rules reduce investor's leverage?

作　　者：王静远[1] 葛逸清 汤珂 邓雅琳 WANG Jing-yuan;GE Yi-qing;TANG Ke;DENG Ya-lin(School of Computer Science and Engineering,Beihang University,Beijing 100191,China;Institute of Economics,School of Social Science,Tsinghua University,Beijing 100084,China)

机构地区：[1]北京航空航天大学计算机学院,北京100191 [2]清华大学社会科学学院经济学研究所,北京100084

出　　处：《管理科学学报》2021年第2期99-110,共12页Journal of Management Sciences in China

基　　金：国家自然科学基金资助面上项目(92046010,71973075,61572059);国家自然科学基金资助重点项目(71531001);国家社会科学基金资助重大项目(16ZDA008)。

摘　　要：为遏制投机行为、稳定大宗商品市场,我国在2016年频繁出台政策调整商品期货交易规则.本文利用交易账户数据探究政策调整对投资者杠杆的影响.研究发现,交易规则的改变确实降低了投资者杠杆,且主要有两个方面的机制:一是调整后投资者受到追加保证金的压力增大,被迫降低杠杆;二是调整后市场波动率增大,投资者有降低杠杆应对市场风险的需求.China frequently adjusted futures trading rules in 2016 to curb speculation and stabilize commodity markets.This paper explores how policy changes influence investor's leverage based on data from individual trading accounts.The paper finds that these cooling-markets adjustments do reduce the leverage through two main mechanisms.Firstly,investors are forced to reduce leverage due to increased margin requirements.Secondly,investors intend to reduce leverage in response to increased market volatility after the policy adjustments.

关 键 词：交易规则 投资者杠杆 保证金比例 市场波动率 

分 类 号：F832.5[经济管理—金融学]