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Margin Requirements, Volatility, and the Transitory Components of Stock Prices

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. Yajun Wang, 2016. "Why Can Margin Requirements Increase Volatility and Benefit Margin Constrained Investors?," Review of Finance, European Finance Association, vol. 20(4), pages 1449-1485.
  3. Chatrath, Arjun & Adrangi, Bahram & Allender, Mary, 2001. "The impact of margins in futures markets: evidence from the gold and silver markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 41(2), pages 279-294.
  4. Matsypura, Dmytro & Pauwels, Laurent L., 2016. "Does portfolio margining make borrowing more attractive?," International Review of Financial Analysis, Elsevier, vol. 43(C), pages 128-134.
  5. 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.
  6. Li Qian & Mingsheng Li & Yan Li, 2020. "Does news travel slowly before a market crash? The role of margin traders," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 60(3), pages 3065-3101, September.
  7. Sheng Guo, 2014. "Margin requirements and portfolio optimization: A geometric approach," Journal of Asset Management, Palgrave Macmillan, vol. 15(3), pages 191-204, June.
  8. 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.
  9. 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.
  10. 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.
  11. 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.
  12. Tim Bollerslev & Ray Y. Chou & Narayanan Jayaraman & Kenneth F. Kroner - L, 1991. "es modéles ARCH en finance : un point sur la théorie et les résultats empiriques," Annals of Economics and Statistics, GENES, issue 24, pages 1-59.
  13. Jiangze Bian & Zhiguo He & Kelly Shue & Hao Zhou, 2018. "Leverage-Induced Fire Sales and Stock Market Crashes," NBER Working Papers 25040, National Bureau of Economic Research, Inc.
  14. Brumm, Johannes & Grill, Michael & Kubler, Felix & Schmedders, Karl, 2015. "Margin regulation and volatility," Journal of Monetary Economics, Elsevier, vol. 75(C), pages 54-68.
  15. Haizhong Wang & Hong Yuan & Xiaolin Li & Huaxi Li, 2019. "The impact of psychological identification with home-name stocks on investor behavior: an empirical and experimental investigation," Journal of the Academy of Marketing Science, Springer, vol. 47(6), pages 1109-1130, November.
  16. Paul Kofman & James T. Moser, 2001. "Stock margins and the condition probability of price reversals," Economic Perspectives, Federal Reserve Bank of Chicago, vol. 25(Q III), pages 2-12.
  17. Owen Lamont & Jeremy C. Stein, 1999. "Leverage and House-Price Dynamics in U.S. Cities," RAND Journal of Economics, The RAND Corporation, vol. 30(3), pages 498-514, Autumn.
  18. 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.
  19. Koutmos, Gregory, 1997. "Feedback trading and the autocorrelation pattern of stock returns: further empirical evidence," Journal of International Money and Finance, Elsevier, vol. 16(4), pages 625-636, August.
  20. Daskalaki, Charoula & Skiadopoulos, George, 2016. "The effects of margin changes on commodity futures markets," Journal of Financial Stability, Elsevier, vol. 22(C), pages 129-152.
  21. Dayong Lv & Wenfeng Wu, 2020. "Margin trading and price efficiency: information content or price‐adjustment speed?," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 60(3), pages 2889-2918, September.
  22. Xiong, Wei, 2001. "Convergence trading with wealth effects: an amplification mechanism in financial markets," Journal of Financial Economics, Elsevier, vol. 62(2), pages 247-292, November.
  23. Wenxi Jiang, 2024. "Leveraged speculators and asset prices†," Review of Finance, European Finance Association, vol. 28(3), pages 769-804.
  24. Santa-Clara, Pedro & Saretto, Alessio, 2009. "Option strategies: Good deals and margin calls," Journal of Financial Markets, Elsevier, vol. 12(3), pages 391-417, August.
  25. Chen, Jun & Kadapakkam, Palani-Rajan & Yang, Ting, 2016. "Short selling, margin trading, and the incorporation of new information into prices," International Review of Financial Analysis, Elsevier, vol. 44(C), pages 1-17.
  26. Yaping Zhou & Xundi Diao & Dayong Lv, 2023. "Role of OTC options in stock price efficiency: Evidence from the Chinese market," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 63(4), pages 4629-4655, December.
  27. Vivek Arora & Martin Cerisola, 2001. "How Does U.S. Monetary Policy Influence Sovereign Spreads in Emerging Markets?," IMF Staff Papers, Palgrave Macmillan, vol. 48(3), pages 1-3.
  28. Henke, Harald & Voronkova, Svitlana, 2005. "Price limits on a call auction market: Evidence from the Warsaw Stock Exchange," International Review of Economics & Finance, Elsevier, vol. 14(4), pages 439-453.
  29. repec:adr:anecst:y:1991:i:24:p:01 is not listed on IDEAS
  30. Albert Menkveld & Emiliano Pagnotta & Marius Andrei Zoican, 2016. "Does Central Clearing Affect Price Stability? Evidence from Nordic Equity Markets," Working Papers hal-01253702, HAL.
  31. Ito, Takatoshi & Lin, Wen-Ling, 2001. "Race to the center: competition for the Nikkei 225 futures trade," Journal of Empirical Finance, Elsevier, vol. 8(3), pages 219-242, July.
  32. Venkat Eleswarapu & Chandrasekar Krishnamurti, 1995. "Do `speculative traders' increase Stock Price Volatility? Empirical evidence from the Bombay Stock Exchange," Finance 9507006, University Library of Munich, Germany.
  33. 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.
  34. Hsu, Yenshan, 1996. "Margin requirements and stock market volatility Another look at the case of Taiwan," Pacific-Basin Finance Journal, Elsevier, vol. 4(4), pages 409-419, December.
  35. Ladley, Daniel & Liu, Guanqing & Rockey, James, 2020. "Losing money on the margin," Journal of Economic Behavior & Organization, Elsevier, vol. 172(C), pages 107-136.
  36. Aytek Malkhozov & Philippe Mueller & Andrea Vedolin & Gyuri Venter, 2017. "International Illiquidity," International Finance Discussion Papers 1201, Board of Governors of the Federal Reserve System (U.S.).
  37. Yanxi Li & Siu Kai Choy & Mingzhu Wang, 2022. "The potential built‐in supply effect from margin trading in the Chinese stock market," The Financial Review, Eastern Finance Association, vol. 57(4), pages 835-861, November.
  38. Chen, Zhuo & Li, Pengfei & Wang, Zhengwei & Zhang, Bohui, 2024. "Leveraged trading and stock returns: Evidence from international stock markets," Journal of Financial Markets, Elsevier, vol. 69(C).
  39. Zhang, Wei David & Seyedian, Mojtaba & Li, Jinliang, 2005. "Margin borrowing, stock returns, and market volatility: Evidence from margin credit balance," Economics Letters, Elsevier, vol. 87(2), pages 273-278, May.
  40. Strych, Jan-Oliver, 2022. "The impact of margin trading and short selling by retail investors on market price efficiency: Empirical evidence from bitcoin exchanges," Finance Research Letters, Elsevier, vol. 47(PB).
  41. Braggion, Fabio & Frehen, Rik & Jerphanion, Emiel, 2020. "Credit Provision and Stock Trading: Evidence from the South Sea Bubble," CEPR Discussion Papers 14532, C.E.P.R. Discussion Papers.
  42. Saint Kuttu & Godfred A. Bokpin, 2017. "Feedback Trading and Autocorrelation Patterns in Sub-Saharan African Equity Markets," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 53(1), pages 213-225, January.
  43. Xuan Zhou & Honggang Li, 2019. "Buying on Margin and Short Selling in an Artificial Double Auction Market," Computational Economics, Springer;Society for Computational Economics, vol. 54(4), pages 1473-1489, December.
  44. Moore, Norman H. & Pruitt, Stephen W., 1995. "The firm-size relation and stock market responses to post-1962 changes in Federal Reserve margin levels: Evidence from an exhaustive sample of exchange-listed firms," Economics Letters, Elsevier, vol. 49(3), pages 301-306, September.
  45. John H. Huston & Roger W. Spencer, 2009. "Speculative excess and the Federal Reserve's response," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 26(1), pages 46-61, March.
  46. Lv, Dayong & Wu, Wenfeng, 2019. "Margin-trading volatility and stock price crash risk," Pacific-Basin Finance Journal, Elsevier, vol. 56(C), pages 179-196.
  47. K. John & A. Koticha & R. Narayanan, "undated". "Margin Rules, Informed Trading in Derivatives and Price Dynamics," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-047, New York University, Leonard N. Stern School of Business-.
  48. Rashid, Abdul & Ahmad, Shabbir, 2008. "Badla Financing, Stock Returns and Volatility: The Case Study of Karachi Stock Exchange," MPRA Paper 30487, University Library of Munich, Germany.
  49. Bian, Jiangze & Da, Zhi & He, Zhiguo & Lou, Dong & Shue, Kelly & Zhou, Hao, 2021. "Margin trading and leverage management," LSE Research Online Documents on Economics 118851, London School of Economics and Political Science, LSE Library.
  50. Sang Bin Lee & Tae Yol Yoo, 1991. "Margin Regulation And Stock Market Response: Further Evidence From The U.S. And Some Pacific‐Basin Countries," Review of Financial Economics, John Wiley & Sons, vol. 1(1), pages 79-98, September.
  51. 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.
  52. Alexander, Carol & Kaeck, Andreas & Sumawong, Anannit, 2019. "A parsimonious parametric model for generating margin requirements for futures," European Journal of Operational Research, Elsevier, vol. 273(1), pages 31-43.
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