This article investigates the relationship between initial margin requirements and stock return volatility. Volatility is measured using a GARCH in Mean model. We find no evidence of an empirical relationship between margin requirements and the volatility of the S&P 500 index portfolio's excess retu
Margin requirements and stock market volatility Another look at the case of Taiwan
β Scribed by Yenshan Hsu
- Book ID
- 117627990
- Publisher
- Elsevier Science
- Year
- 1996
- Tongue
- English
- Weight
- 527 KB
- Volume
- 4
- Category
- Article
- ISSN
- 0927-538X
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
This article reexamines the evidence on the relationship between stock market margin buying and volatility, and discusses the implications for the regulation of futures markets margin requirements. Post-war data provide no evidence of a link between the initial margin requirements set by the Federal
This paper considers a standard present-value equity price formula where the discount factor is driven by the real return on short-term public debt. We discuss a state-space formulation by which prices can be decomposed into fundamental and non-fundamental components. The model is estimated on annua