Author: Don M. ChancePublisher:
ISBN:
Category : Action theory
Languages : en
Pages : 68
Book Description
The Effect of Margins on the Volatility of Stock and Derivative Markets
Author: Don M. ChancePublisher:
ISBN:
Category : Action theory
Languages : en
Pages : 68
Book Description
Low Margins, Derivative Securities, and Volatility
Author: Gerard GennottePublisher:
ISBN:
Category : Margins (Futures trading)
Languages : en
Pages : 46
Book Description
Margin Requirements, Volatility, and Market Integrity
Author: Paul H. KupiecPublisher:
ISBN:
Category : Commodity exchanges
Languages : en
Pages : 62
Book Description
Margins & Market Integrity
Author: Publisher: Irwin Professional Publishing
ISBN:
Category : Business & Economics
Languages : en
Pages : 392
Book Description
The Adequacy and Consistency of Margin Requirements in the Markets for Stocks and Derivative Products
Author: Mark WarshawskyPublisher:
ISBN:
Category : Margins (Security trading)
Languages : en
Pages : 32
Book Description
Margin Changes and Futures Trading Activity
Author: Antonis A. AristidouPublisher:
ISBN:
Category :
Languages : en
Pages : 46
Book Description
The paper examines the impact of margins, adjusted for underlying price risk proxied by market volatility, on trading volume and at the same time incorporates the relationship between trading volume and price volatility documented in equities and futures markets. The study estimates bivariate GARCH-M models to take account of the inter-relationships and applies them to the Greek derivatives market over the period 1999-2005. The results show that when adjusting margins for market risk there is no impact on trading volume, casting doubts on the results of previous research, and providing support for the view that margin requirements are used only as a mechanism to prevent trader default.
The Effects of Index Arbitrage and Margin Requirements on Volatility and Liquidity in Stock and Futures Market
Author: Ming-long Andrew WangPublisher:
ISBN:
Category : Arbitrage
Languages : en
Pages : 226
Book Description
International Convergence of Capital Measurement and Capital Standards
Author: Publisher: Lulu.com
ISBN: 9291316695
Category : Bank capital
Languages : en
Pages : 294
Book Description
Stock Market Policy Since the 1987 Crash
Author: Hans R. StollPublisher: Springer Science & Business Media
ISBN: 1461557070
Category : Business & Economics
Languages : en
Pages : 143
Book Description
Since the US stock market crashed on October 19, 1987, many studies have been conducted to learn from this experience in the hopes of avoiding a similarly adverse future fall. The book, originally published as a special issue of the Journal of Financial Services Research, considers some of the important policy adjustments that have been implemented in the wake of the 1987 crash. Taken separately and together, these five papers offer a synthesis and summary of the most important policy innovations that have evolved since the largest single-day decline in stock market history.
Interim Report of the Working Group on Financial Markets
Author: United States. Working Group on Financial MarketsPublisher:
ISBN:
Category : Financial futures
Languages : en
Pages : 128
Book Description