Animal spirits, margin requirements, and stock price volatility
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Other versions of this item:
- Kupiec, Paul H & Sharpe, Steven A, 1991. "Animal Spirits, Margin Requirements, and Stock Price Volatility," Journal of Finance, American Finance Association, vol. 46(2), pages 717-731, June.
- Paul H. Kupiec & Steven A. Sharpe, 1989. "Animal spirits, margin requirements, and stock price volatility," Finance and Economics Discussion Series 91, Board of Governors of the Federal Reserve System (U.S.).
Citations
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Cited by:
- Ilhyock Shim & Goetz Von Peter, 2007.
"Distress Selling and Asset Market Feedback,"
Financial Markets, Institutions & Instruments, John Wiley & Sons, vol. 16(5), pages 243-291, December.
- Ilhyock Shim & Goetz von Peter, 2007. "Distress selling and asset market feedback," BIS Working Papers 229, Bank for International Settlements.
- Paul Kupiec, 1998.
"Margin Requirements, Volatility, and Market Integrity: What Have We Learned Since the Crash?,"
Journal of Financial Services Research, Springer;Western Finance Association, vol. 13(3), pages 231-255, June.
- Paul H. Kupiec, 1997. "Margin Requirements, Volatility, and Market Integrity: What Have We Learned Since The Crash?," FMG Special Papers sp97, Financial Markets Group.
- Paul H. Kupiec, 1997. "Margin requirements, volatility, and market integrity: what have we learned since the crash?," Finance and Economics Discussion Series 1997-22, Board of Governors of the Federal Reserve System (U.S.).
- Lillyn L. Teh & Werner F. M. de Bondt, 1997. "Herding Behavior and Stock Returns: An Exploratory Investigation," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 133(II), pages 293-324, June.
- Wen-Chung Guo & Frank Wang & Ho-Mou Wu, 2011.
"Financial leverage and market volatility with diverse beliefs,"
Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 47(2), pages 337-364, June.
- Wen-Chung Guo & Frank Yong Wang & Ho-Mou Wu, 2009. "Financial Leverage and Market Volatility with Diverse Beliefs," Finance Working Papers 22887, East Asian Bureau of Economic Research.
- Christian Weller, 2002. "Policy on the margin: Evaluating the impact of margin debt requirements on stock valuations," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 26(1), pages 1-15, March.
- Middleton, Elliott, 1996. "Adaptation level and 'animal spirits'," Journal of Economic Psychology, Elsevier, vol. 17(4), pages 479-498, August.
- Hui Ying Sng & Yang Zhang & Huanhuan Zheng, 2020. "Margin trade, short sales and financial stability," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 15(3), pages 673-702, July.
- Chen, Chao & Jeng, Jau-Lian, 1996. "The impact of price limits on foreign currency futures' price volatility and market efficiency," Global Finance Journal, Elsevier, vol. 7(1), pages 13-25.
- Brumm, Johannes & Grill, Michael & Kubler, Felix & Schmedders, Karl, 2015.
"Margin regulation and volatility,"
Journal of Monetary Economics, Elsevier, vol. 75(C), pages 54-68.
- Johannes Brumm & Michael Grill & Felix Kubler & Karl Schmedders, 2013. "Margin Regulation and Volatility," Swiss Finance Institute Research Paper Series 13-59, Swiss Finance Institute.
- Brumm, Johannes & Kubler, Felix & Grill, Michael & Schmedders, Karl, 2014. "Margin regulation and volatility," Working Paper Series 1698, European Central Bank.
- Hsin, Chin-Wen & Guo, Wen-Chung & Tseng, Seng-Su & Luo, Wen-Chih, 2003. "The impact of speculative trading on stock return volatility: the evidence from Taiwan," Global Finance Journal, Elsevier, vol. 14(3), pages 243-270, December.
- Sheng Guo, 2014.
"Margin requirements and portfolio optimization: A geometric approach,"
Journal of Asset Management, Palgrave Macmillan, vol. 15(3), pages 191-204, June.
- Sheng Guo, 2014. "Margin Requirements and Portfolio Optimization: A Geometric Approach," Working Papers 1406, Florida International University, Department of Economics.
- Filiz Eryilmaz, 2015. "Modelling Stock Market Volatility: The Case Of Bist-100," Annals - Economy Series, Constantin Brancusi University, Faculty of Economics, vol. 5, pages 37-47, October.
- Alan Guoming Huang & Eric Hughson & J. Chris Leach, 2016.
"Generational Asset Pricing, Equity Puzzles, and Cyclicality,"
Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 22, pages 52-71, October.
- Alan Guoming Huang & Eric Hughson & J. Chris Leach, 2016. "Code and data files for "Generational Asset Pricing, Equity Puzzles, and Cyclicality"," Computer Codes 13-198, Review of Economic Dynamics.
- Albert Menkveld & Emiliano Pagnotta & Marius Andrei Zoican, 2016. "Does Central Clearing Affect Price Stability? Evidence from Nordic Equity Markets," Working Papers hal-01253702, HAL.
- William Schwert, G., 2002.
"Stock volatility in the new millennium: how wacky is Nasdaq?,"
Journal of Monetary Economics, Elsevier, vol. 49(1), pages 3-26, January.
- G. William Schwert, 2001. "Stock Volatility in the New Millennium: How Wacky Is Nasdaq?," NBER Working Papers 8436, National Bureau of Economic Research, Inc.
- Peter Fortune, 2001. "Margin lending and stock market volatility," New England Economic Review, Federal Reserve Bank of Boston, pages 3-25.
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Keywords
Margins (Security trading); Stock - Prices;Statistics
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