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
β¦ LIBER β¦
Stock index futures: implications for international capital taxation
β Scribed by Michael G. Williams
- Book ID
- 116116625
- Publisher
- Elsevier Science
- Year
- 1996
- Tongue
- English
- Weight
- 510 KB
- Volume
- 15
- Category
- Article
- ISSN
- 0261-5606
No coin nor oath required. For personal study only.
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## Abstract Using a timeβvarying regimeβswitching vector error correction approach, this paper seeks to address which factors explain the transition across regimes of the US and the UK stock index futures markets. The findings suggest that the basis exercises a significant effect in regime transiti