The Intervention Effect of Composite Optimized Margin System Change on Trading Volume and Individual Investor Weight in Futures and Option market
Moon, Seong Ju
Lee, Dong-Ho
Yang, Seong-Kuk
Yoo, Young-Joong
The study is concerned with the empirical estimation of the effect of customer margin requirement policy change on trading volume and individual investor weight in Futures and Options using intervention model. The following is a summary of the results of this study. First, the trading volume and individual investor weight in Futures and Options is seemingly correlated with the customer margin requirement policy change. Second, the time series of trading volume and individual investor weight in Futures and Options didn't have unit root and haver ARIMA(p=1, d=0, q=1). Third, Futures volume and individual investor weight in Options is significantly correlated with the customer margin requirement policy change.