[[alternative]]Relationship between Index Futures Margin Changes and Financial Market

[[abstract]] 本文主要探討保證金與期貨和現貨市場的關係，讓投資者能以最簡便的方法預測保證金何時會改變，及保證金改變後如何影響市場的變化。研究發現，多、空頭的市場狀況會影響保證金調整的變化。市場的「槓桿率、波動程度、期貨和現貨的相對價差及時間效果」與保證金的調升變化有關，除了槓桿率、波動程度、期貨和現貨的相對價差及時間效果外「期貨和現貨之相對日內波動與歷史波動」與保證金的調降變化有關。因此調升保證金與調降保證金的預測因子有些許不同。當加入時間效果預測時發現，期交所對於過去和現在的比較下有壓低保證金金額的現象。以平均22日之資料預測效果最好，而且預測一個月後保證金調整之機率最好。 最後探討調整保證金對市場影響。發現保證金的調整不會改變期貨與現貨市場報酬率之趨勢，保證金調升後會使相對價格收斂，並使逆價差的情況較為趨緩。調降保證金後會使期貨之累積報酬率原本下降的速度加劇，並且可刺激市場的歷史波動，但調降後會使市場的相對價差擴大。[[abstract]] This research explores the relationship between the margins, the futures, and the stock markets. Investors can use the most convenient way to predict the change of guarantees. And investors can know the margins how to affect the market after changing. The research shows that the bull market and bear market conditions will affect the margin change. For the markets, “the leverage, the volatility, the futures and stocks prices, and times effects” are about the margins which to rise. Besides those situations, “the daily and historical volatility of the futures and stokes” also relates to the margins which to reduce. Hence, it is different to the predictive elements of the margins which is rise or down. We can know a phenomenon which is the past margins lower than now after adding the times effect. It is the best to average 22 days for prediction, and it is perfect to predict the probability of margins adjustments after a month, too. Finally, we explore the impact which is the adjustments of the margins on the market. Adjusting the margins can not change a tendency toward the futures, and the rate of return in the stock markets. After the margins rises, it can make the prices convergence. And the inverse prices will improvement. However, if the margins drop, it will cause the rate of return which drops fast. Although the situation can stimulate to the historical volatility in the stock markets, the prices difference will be increased after the margins drops