Оценка влияния маржинальных требований на ликвидность российского рынка фьючерсов

Abstract

The implementation of a margin system in derivatives markets has a positive effect on market liquidity and market pricing efficiency. At the same time, portfolio diversification and hedging are not fully taken into account when assessing margin requirements. Therefore, in order to comply with regulatory requirements, the exchange sets excessive margins. IAs Charoula Daskalaki and George Skiadopoulos have shown, overestimation of margin requirements reduces the positive effect of the existence of a margin system. However, quantification of this observation has not been presented in studies before. This paper quantifies the dependence of market liquidity on the level of margin. The study is conducted on data from futures contracts for 19 underlying assets traded on the Moscow Exchange between 2014 and 2021, using an autoregressive moving average model with exogenous factors (ARMAX). The stability of the obtained results is determined by comparing different model specifications with different sliding window sizes. The analysis not only confirmed the fact that margin requirements, which protect the exchange's capital, reduce the positive effect of implementing a margin system but also allowed to evaluate it quantitatively: a 1% increase in margin requirements in relative terms reduces trading volume from 2.5 to 7% and the volume of open positions from 0.2 to 0.9%, depending on the type of position and trader. The impact on trading volume is on average stable over time, and there are local trends and tipping points for the volume of open positions.