本篇論文主要在研究金融風暴前後保證金變動對價格波動（price Volatility）之關係加以探討。首先探討期貨保證金變動對於市場未平倉量、成交量及價格波動性的影響程度，藉由台灣加權股價指數期貨資料，利用無母數檢定法檢測保證金變動前後對市場交易是否產生顯著影響；其次，計算出分析結果為顯著的保證金調整次數占總調整次數的比例，並以比例概念分析事件發生前後保證金變動對價格波動性之影響有無變化。
實證結果發現保證金變動對成交量之影響不明確，但與期貨未平倉量成反向關係，顯示提高保證金的確使投資成本上升，且短期較長期更為顯著。而風暴後保證金調整其調升之效果較調降之效果顯著，且長期之效果較短期明顯。另外對價格波動而言，保證金調高與價格波動性呈現反向關係，顯示保證金制度在穩定期貨市場上確實有顯著效果，且短期效果較長期效果來得顯著。而風暴後調升之影響較大於調降之影響，且調降之影響長期略優於短期，調升之影響則以長期較短期明顯。因此，調高期貨保證金的確可以抑制投機或降低期貨價格的波動性，保證金制度可謂是穩定的控管機能，且以風暴後之效果更為明顯，因此，期交所需視風暴後其政策影響之改變做適當調整。

The first purpose of this research is to explore whether financial crisis influence the interrelation between futures margins and price volatility. First, data of Taiwan Weighted Stock Index Future are used to test if there are significant effects on market activities after the margins changes using the method of non-parametic statistics. Second, ratio analysis is used to find out whether financial crisis change the interrelation between futures margins and price volatility.
The empirical results are listed as follows: There is negative relationship between margin change and futures open interest. It shows that raising margins level do really increase the cost of investment and short term effect is more significant than long term. And in the post financial crisis period, the effect of margin increase is more significant than that of margin decrease. On the other hand, the margin change has negative relationship with price volatility, and short term effect is more significant than long term. In the post financial crisis period, the effect of margin increase is more significant than that of decrease. The lone term effect of margin increase is more significant than short term, and long term effect of margin decrease is less than short term. In conclusion, futures margins do really restrain speculation and reduce futures price volatility. Margin system can be regarded as stabilized risk-controlling instrument. However, in the post financial crisis period, the margin system should have some adjustment to suit the new change in the interrelation between margins level and market activities.
Keywords: futures margins, Wilcoxon rank-sum test, futures price volatility, financial crisis.

國內部分
1. 賴姬葦(2002)，「保證金變動對市場交易的影響」，淡江大學財務金融學系所碩士論文。
2. 鄭世賢(2000)，「台灣期貨交易所保證金變動對期貨價格影響之實證研究」，大葉大學事業經營研究所碩士論文。

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