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本文主要探讨黄金期货合同的保证金要求是如何确立,以及保证金要求的改变会如何影响黄金期货市场。通过分析2009年1月到2014年12月黄金期货合同的相关数据,发现对保证金要求影响最大的因素是对应的黄金期货合同的价格波动幅度。此外,保证金要求的改变对黄金期货合同的交易量和价格波动率几乎没有影响。对不同到期日的黄金期货合同,到期时间越长的合同价格更容易受到保证金要求变化的影响。另外,保证金要求的改变对黄金期货投机者的影响要大于套期保值者。
This article examines how margin requirements for gold futures contracts are established and how the changes in margin requirements can affect the gold futures market. By analyzing the relevant data of gold futures contracts from January 2009 to December 2014, it is found that the most important factor affecting the requirements of gold deposits is the price fluctuation of corresponding gold futures contracts. In addition, changes in the margin requirements have little effect on the trading volume and price volatility of gold futures contracts. For different gold futures contracts with different maturities, the contract price with the longer expiration date is more likely to be affected by changes in margin requirements. In addition, changes in margin requirements have a greater impact on gold futures speculators than hedgers.