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Initial Margin Requirements and Stock Returns Volatility

Author: Paul H. Kupiec
Publisher:
ISBN:
Category : Margins (Security trading)
Languages : en
Pages : 48

Book Description

Initial Margin Requirements and Stock Returns Volatility

Author: Paul H. Kupiec
Publisher:
ISBN:
Category : Margins (Security trading)
Languages : en
Pages : 48

Book Description

The Asymmetric Relation between Initial Margin Requirements and Stock Market Volatility Across Bull and Bear Markets

Author: Gikas A. Hardouvelis
Publisher:
ISBN:
Category :
Languages : en
Pages : 50

Book Description
Higher initial margin requirements are associated with lower subsequent stock market volatility during normal and bull periods, but show no relationship during bear periods. Higher margins are also negatively related to the conditional mean of stock returns, apparently because they reduce systemic risk. We conclude that a prudential rule for setting margins (or other regulatory restrictions) is to lower them in bear markets in order to enhance liquidity and avoid a de-pyramiding effect in stock prices, but subsequently raise them and keep them at the higher level in order to prevent a future pyramiding effect.

Margin Requirements, Volatility, and Market Integrity

Author: Paul H. Kupiec
Publisher:
ISBN:
Category : Commodity exchanges
Languages : en
Pages : 62

Book Description

Margin Requirements and Volatility

Author: Kwan Yiu Lee
Publisher:
ISBN:
Category :
Languages : en
Pages :

Book Description

Animal Spirits, Margin Requirements, and Stock Price Volatility

Author: Paul H. Kupiec
Publisher:
ISBN:
Category : Margins (Security trading)
Languages : en
Pages : 44

Book Description

Regulatory Reform of Stock and Futures Markets

Author: Franklin R. Edwards
Publisher: Springer Science & Business Media
ISBN: 9400921934
Category : Business & Economics
Languages : en
Pages : 201

Book Description

Futures Margins and Stock Price Volatility

Author: Paul H. Kupiec
Publisher:
ISBN:
Category : Margins (Futures trading)
Languages : en
Pages : 52

Book Description

Initial Margin Requirements, Volatility, and the Individual Investor

Author: Kenneth Kim
Publisher:
ISBN:
Category :
Languages : en
Pages :

Book Description
Initial margin requirements represent: (1) a cost impediment to the wealth constrained investor and (2) a potential way of mitigating excessive volatility. However, prior empirical research finds that margins are not an effective tool in reducing volatility. We consider the possibility that margins primarily affect certain stocks and investors. Specifically, we test whether margins affect individuals who, as a group, we believe to be the investors most affected when margin requirements change. Our initial empirical tests, however, do not support this contention.

Stock Margins and the Conditional Probability of Price Reversals

Author: Paul Kofman
Publisher:
ISBN:
Category : Margins (Futures trading)
Languages : en
Pages : 36

Book Description

Margin Requirements, Volatility and the Transitory Component of Stock Prices

Author: Gikas A. Hardouvelis
Publisher:
ISBN:
Category : Margins (Security trading)
Languages : en
Pages : 35

Book Description