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Initial margin requirements and stock returns volatility: another look

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  • Paul H. Kupiec

Abstract

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Suggested Citation

  • Paul H. Kupiec, 1989. "Initial margin requirements and stock returns volatility: another look," Finance and Economics Discussion Series 53, Board of Governors of the Federal Reserve System (U.S.).
    • Handle: RePEc:fip:fedgfe:53
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    Citations

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    Cited by:

    1. Alexander, Gordon J. & Ors, Evren & Peterson, Mark A. & Seguin, Paul J., 2004. "Margin regulation and market quality: a microstructure analysis," Journal of Corporate Finance, Elsevier, vol. 10(4), pages 549-574, September.
    2. Abdur Chowdhury, 1997. "Margin requirements and stock market volatility in Thailand," Applied Economics Letters, Taylor & Francis Journals, vol. 4(2), pages 83-87.
    3. 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.
    4. Victoria Saporta & Kamhon Kan, 1997. "The effects of Stamp Duty on the Level and Volatility of Equity Prices," Bank of England working papers 71, Bank of England.
    5. Duchêne, Sébastien & Guerci, Eric & Hanaki, Nobuyuki & Noussair, Charles N., 2019. "The effect of short selling and borrowing on market prices and traders’ behavior," Journal of Economic Dynamics and Control, Elsevier, vol. 107(C), pages 1-1.
    6. Tibor Neugebauer & Sascha Füllbrunn, 2013. "Deflating Bubbles in Experimental Asset Markets: Comparative Statics of Margin Regulations," LSF Research Working Paper Series 13-14, Luxembourg School of Finance, University of Luxembourg.
    7. Rawley Z. Heimer & Alp Simsek, 2017. "Should Retail Investors' Leverage Be Limited?," NBER Working Papers 24176, National Bureau of Economic Research, Inc.
    8. Jorge Caiado, 2004. "Modelling And Forecasting The Volatility Of The Portuguese Stock Index Psi-20," Portuguese Journal of Management Studies, ISEG, Universidade de Lisboa, vol. 9(1), pages 3-21.
    9. Zhang, Ting & Li, Honggang, 2013. "Buying on margin, selling short in an agent-based market model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(18), pages 4075-4082.
    10. Sheng Guo, 2014. "Margin requirements and portfolio optimization: A geometric approach," Journal of Asset Management, Palgrave Macmillan, vol. 15(3), pages 191-204, June.
    11. Rawley Heimer, 2014. "Can Leverage Constraints Help Investors?," Working Papers (Old Series) 1433, Federal Reserve Bank of Cleveland.
    12. J. Harold Mulherin, 1990. "Regulation, Trading Volume and Stock Market Volatility," Revue Économique, Programme National Persée, vol. 41(5), pages 923-938.
    13. 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.
    14. Heimer, Rawley & Simsek, Alp, 2019. "Should retail investors’ leverage be limited?," Journal of Financial Economics, Elsevier, vol. 132(3), pages 1-21.
    15. Peter Fortune, 2001. "Margin lending and stock market volatility," New England Economic Review, Federal Reserve Bank of Boston, pages 3-25.
    16. Füllbrunn, Sascha & Neugebauer, Tibor, 2022. "Testing market regulations in experimental asset markets – The case of margin purchases," Journal of Economic Behavior & Organization, Elsevier, vol. 200(C), pages 1160-1183.

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    Keywords

    Margins (Security trading); Stock - Prices;

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