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Price Limits and Margin Requirements in Futures Markets

โœ 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

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Margin requirements in futures markets:
โœ Raymond P. H. Fishe; Lawrence G. Goldberg; Thomas F. Gosnell; Sujata Sinha ๐Ÿ“‚ Article ๐Ÿ“… 1990 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 902 KB

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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

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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).