保證金準備與市場浮動性：以代理人為基礎之研究

Margin Requirements and Market Volatility:Agent-Based Modeling Approach

曾義峰(Yi-Feng Tzeng)

指導教授 ： 葉佳炫

元智大學/資訊學院/資訊管理學系/碩士(2005年)

摘要

長久以來，保證金貸款普遍被認為是造成證券市場不穩定的關鍵因素。Galbraith(1954)視保證金貸款為1929年大崩盤的核心原因，認為在1920年代晚期，由於投資者從中介商取得過多的貸款，加重了股價的攀升，並且隨後也使股價的下跌更趨惡化，造成大崩盤的現象。近代，分析1988年「美國證券及交易委員會」與Brady et al. (1988)的「市場機制的總統專案小組」，都指出在期貨市場中，偏低的保證金準備是造成1987年大崩盤的重要原因之一。2000年3月時，過高的保證金貸款使得美國國會對於此議題舉辦聽證會，並且要求美國聯邦儲備委員會(Fed)採取更積極的保證金政策。
保證金貸款制度普遍被視為會增加市場浮動性。Bogen and Krooss(1960)將此描述為「金字塔與反金字塔」效應，較為人熟知的名詞是Garbade(1982)將之替換為「金字塔與倒金字塔」效應。因為樂觀的投資者會借貸大量的資金買股票，造成價格上升。價格上升會反饋給自身；投機者能夠以增加的財富來借貸更多的資金和買更多的股票，因此又把股價拉得更高。這種現象稱為金字塔效應。然而，由金字塔效應造成的股價上升，因為背離基本面，所以股價容易反轉下跌。當股市開始崩盤時，中介商會要求更多的擔保品。如果投機者無法付出額外的保證金或證券作為擔保，中介商會賣掉他們的股票，造成股價跌的更低。股價跌的更低時，中介商又會要求更多的擔保品。這種情形造成很多中介商發出保證金催繳，促進市場流動性，以及超額的股價下跌情形。
本篇論文採用代理人基人工股票市場為模擬環境，並輔以基因規劃建構投資者行為，研究基於時間序列的股價與報酬變異之特性的保證金制度有效性評估。

關鍵字

遺傳規劃 ； 保證金準備 ； 人工股票市場 ； 雙向拍賣 ； 代理人基模式

並列摘要

The stock market crash in 1929 has raised many discussions about the causes and the ways to prevent the financial markets from large fluctuations. The role of the margin loan has usually been regarded as the source of instability in financial markets. The view that low margin infused excessive funds into the stock market was widely accepted at that time. Therefore, the Board of Governors of the Federal Reserve System was authorized by the Securities and Exchange Act to impose initial margin requirements on stock markets in October, 1934, which was previously set by the New York Stock Exchange and other private-sector exchanges. The original purposes of this regulation are three-fold: (1) to reduce excessive credit, and lead more credit toward productive uses, (2) to protect investors from speculative losses due to too much debt, and (3) to reduce price fluctuations caused by margin buying and short selling. In the literature, the discussion of the effectiveness of margin requirements has continued for more than forty years. Besides the controversy of academic research, both the Government and the Fed also possessed different opinions in the past twenty years. The reason that margin loans are believed to increase price volatility is described as a ``pyramiding-depyramiding'' process. The pyramiding-depyramiding process seems to be reasonable but can not be easily justified. The implicit assumption behind this process is that speculation is the source of instability. In this paper, we examine the effectiveness of margin requirements based on the times series properties of price and return volatility as well as their relations with trading volume under the framework of agent-based artificial stock market in which trader' behavior is modeled by genetic programming.

並列關鍵字

Genetic Programming ； Margin Requirements ； Artificial Stock Market ； Double Auction ； Agent-Based Modeling

參考文獻

[1] Adam, S. 1776 [1937]. “The Wealth of Nations.” New York:

Involving Risk and a Criticism of the Postulates and Axioms of the American School." in M. Allais and O. Hagen (ed.), Expected Utility Hypotheses and the Allais Paradox, D. Reidel, Dordrecht: Holland, pp. 27-145.

[5] Brady Report. (Presidential Task Force on Market Mechanisms). 1989. In Black Monday and the Future of Financial Markets. Homewood, I11.: Irwin.

[7] Chowdhry, B. and Nanda, V. 1998. “Leverage and Market Stability: The Role of Margin Rules and Price Limits.” The Journal of Business, vol. 71, no. 2 (April), pp. 179-210.

[11]Ferris, S. P. and D. M. Chance. 1988. “Margin Requirements and Stock Market Volatility.” Economic Letters, vol. 28, pp. 251-254.