股票市場開放融資融券信用交易有助於促進市場資金動能，提高市場的流動性，但過高的槓桿可能會增加股市交易的違約風險，因此訂定適當的信用戶最低擔保維持率必須能夠在市場的流動性與違約風險之間取得平衡。本文係以涉險值模型（VaR model）初步探討股票的價格波動率、市場流動性與股票市場信用交易最低擔保維持率之關係，並以國內股市進行數值模擬分析。本文研究結果發現：（1）對國內多數股票而言，無論是民國87年之前所規定的140％、或是現行所採用的120％最低擔保維持率，都顯著過高。證券金融業者若是要求過高的最低擔保維持率，雖然能夠有效降低其面對的違約風險，但是可能會過度緊縮市場信用。（2）證券金融業者可以考慮各信用戶設資組合中各檔股票的價格波動率、整戶的價格波動率、各檔證券的市場流動性等因素，而訂定適當的最低擔保維持率，如此則能夠在不緊縮市場信用的前提下，做好信用戶的違約風險控管。
This paper is the first one using the "variance-covariance" VaR model to examine minimal margin maintenance ratio regulations in Taiwan stock markets. The analytical results and numerical simulation show that with 95% confidence level, minimal margin maintenance ratio of 140% or 120% are obviously too high for most stocks traded in Taiwan stock markets. In this case, security firms can decrease their own risk with higher minimal margin maintenance ratios; however, market liquidity will be reduced due to credit crunch. We suggest that firstly security firms understand their own risk preference and risk management policies in order to decide which level of risks they are willing to take. Besides, on setting an adequate minimal maintenance ratio for a customer's margin trading account, security firms could consider price volatility of the account, and market liquidity of stocks in the account.
