The margin system for futures trading is designed to mitigate systemic risk, whereas unnecessary margin adjustment might exaggerate the volatility of futures prices, causing the futures market to be inefficient. This paper is among the first to employ special margin adjustments around Chinese holidays as exogenous market shocks to investigate the impact of margin adjustment on commodity futures prices. The results show that margin adjustment has a significant negative impact on futures prices, and the results are robust across various robustness checks, such as simulated investment and the Generalized Difference-in-Differences approach. Our results also indicate that excessive margin adjustments encourage excessive speculation. Specifically, simulated investment strategies based on holiday margin adjustment can yield considerable returns, with an average investment return of 5.4〖WTXT〗%〖WTBZ〗 per holiday, assuming a trading margin of 10〖WTXT〗%〖WTBZ〗 and a transaction cost rate of 01〖WTXT〗%〖WTBZ〗. This study contributes to the relationship between the margin system and futures prices, and provides a decision-making basis for improving the trading rules of China’s commodity futures market.