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The Price, Volatility, Volume, and Liquidity Effects of Changes in Federal Reserve Margin Requirements on Both Marginable and Nonmarginable OTC Stocks

In: The Industrial Organization and Regulation of the Securities Industry

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  • Stephen W. Pruitt
  • K. S. Maurice Tse

Abstract

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Suggested Citation

  • Stephen W. Pruitt & K. S. Maurice Tse, 1996. "The Price, Volatility, Volume, and Liquidity Effects of Changes in Federal Reserve Margin Requirements on Both Marginable and Nonmarginable OTC Stocks," NBER Chapters, in: The Industrial Organization and Regulation of the Securities Industry, pages 317-358, National Bureau of Economic Research, Inc.
    • Handle: RePEc:nbr:nberch:8109
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    Cited by:

    1. Sheng Guo, 2014. "Margin requirements and portfolio optimization: A geometric approach," Journal of Asset Management, Palgrave Macmillan, vol. 15(3), pages 191-204, June.
    2. Miguel Cantillo Simon, 2019. "Obtaining implied volatilities from interest rate differentials: New York from 1900 to 1934," Working Papers 201903, Universidad de Costa Rica, revised Nov 2019.
    3. Lebeau, Lucie, 2020. "Credit frictions and participation in over-the-counter markets," Journal of Economic Theory, Elsevier, vol. 189(C).

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