Price Limits and Margin Requirements in Futures Markets
โ Scribed by Haiwei Chen
- Book ID
- 110693322
- Publisher
- John Wiley and Sons
- Year
- 2002
- Tongue
- English
- Weight
- 256 KB
- Volume
- 37
- Category
- Article
- ISSN
- 0732-8516
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
rokers and exchanges require customers to provide security deposits called B margins when they trade in futures markets. Minimum margin levels are set by exchanges and brokers must set margin requirements for their customers at least equal to these minimums. This system has come under attack as fina
This article investigates whether price limits can reduce the default risk and lower the effective margin requirement for a self-enforcing futures contract by considering one more period beyond Brennan's (1986) model to take into account the spillover of unrealized residual shocks due to price limit
Since definition 1) is the least stringent and provides the most degrees of freedom, it is not surprising that our results show fewer significant correlations for definitions 2) and 3).