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
Stock market volatility of regulated industries: an empirical assessment
โ Scribed by Claudio Morana; John W. Sawkins
- Publisher
- Springer-Verlag
- Year
- 2004
- Tongue
- English
- Weight
- 180 KB
- Volume
- 3
- Category
- Article
- ISSN
- 1617-982X
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
he pricing of futures contracts relative to their underlying cash assets via no-T arbitrage relations has been a subject of extensive theoretical and empirical research. Recent studies of arbitrage-enforced relative futures-cash pricing restrictions by for Treasury bill futures,' and by ; Cornell a
We present an empirical study of the subordination hypothesis for a stochastic time series of a stock price. The fluctuating rate of trading is identified with the stochastic variance of the stock price, as in the continuous-time random walk (CTRW) framework. The probability distribution of the stoc
This comprehensive empirical analysis of US energy service company (ESCO) industry trends and performance employs two parallel analytical approaches: a survey of firms to estimate total industry size, and a database of B1500 ESCO projects, from which we report target markets and typical project char