Download or read book Initial Margin Requirements and Stock Returns Volatility written by Paul H. Kupiec and published by . This book was released on 1989 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Asymmetric Relation between Initial Margin Requirements and Stock Market Volatility Across Bull and Bear Markets written by Gikas A. Hardouvelis and published by . This book was released on 2001 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: Higher initial margin requirements are associated with lower subsequent stock market volatility during normal and bull periods, but show no relationship during bear periods. Higher margins are also negatively related to the conditional mean of stock returns, apparently because they reduce systemic risk. We conclude that a prudential rule for setting margins (or other regulatory restrictions) is to lower them in bear markets in order to enhance liquidity and avoid a de-pyramiding effect in stock prices, but subsequently raise them and keep them at the higher level in order to prevent a future pyramiding effect.
Download or read book Margin Requirements Volatility and Market Integrity written by Paul H. Kupiec and published by . This book was released on 1997 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Margin Requirements and Volatility written by Kwan Yiu Lee and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Animal Spirits Margin Requirements and Stock Price Volatility written by Paul H. Kupiec and published by . This book was released on 1989 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Regulatory Reform of Stock and Futures Markets written by Franklin R. Edwards and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 201 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Futures Margins and Stock Price Volatility written by Paul H. Kupiec and published by . This book was released on 1990 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Initial Margin Requirements Volatility and the Individual Investor written by Kenneth Kim and published by . This book was released on 2002 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Initial margin requirements represent: (1) a cost impediment to the wealth constrained investor and (2) a potential way of mitigating excessive volatility. However, prior empirical research finds that margins are not an effective tool in reducing volatility. We consider the possibility that margins primarily affect certain stocks and investors. Specifically, we test whether margins affect individuals who, as a group, we believe to be the investors most affected when margin requirements change. Our initial empirical tests, however, do not support this contention.
Download or read book Stock Margins and the Conditional Probability of Price Reversals written by Paul Kofman and published by . This book was released on 1993 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Financial Market Volatility and the Implications for Market Regulation written by Louis O. Scott and published by International Monetary Fund. This book was released on 1990-11 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt: Volatility in financial markets has forced economists to reexamine the validity of the efficient markets hypothesis, and new empirical approaches have been applied to the study of this important issue in recent years. Many of the recent studies have found evidence of excessive volatility. In the aftermath of the stock market crash of 1987 and the perceived increase in market volatility, some economists have advocated additional market regulations. Are these proposed regulations necessary and would they serve to reduce market volatility? This paper presents a review of recent studies on financial market volatility and examines the proposed regulations.
Download or read book International Convergence of Capital Measurement and Capital Standards written by and published by Lulu.com. This book was released on 2004 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Margin Requirements Volatility and the Transitory Component of Stock Prices written by Gikas A. Hardouvelis and published by . This book was released on 1989 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Margin Requirements Volatility and the Transitory Component of Stock Prices written by Gikas Angelos Hardevoulis and published by . This book was released on 1988 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Interim Report of the Working Group on Financial Markets written by United States. Working Group on Financial Markets and published by . This book was released on 1988 with total page 128 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Margins and Market Integrity written by Stephen Figlewski and published by . This book was released on 1984 with total page 82 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Initial Margin Policy and Stochastic Volatility in the Crude Oil Futures Market written by Theodore E. Day and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the relation between the volatility of the crude oil futures market and changes in initial margin requirements. To closely match changes in futures market volatility with the corresponding changes in margin requirements, we infer the volatility of the futures market from the prices of crude oil futures options contracts. Using a mean-reverting diffusion process for volatility, we show changes in margin policy do not affect subsequent market volatility.
Download or read book The Asymmetric Relation Between Margin Requirements and Stock Market Volatility Across Bull and Bear Markets written by Gikas Angelos Hardouvelis and published by . This book was released on 1997 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:
