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Stock volatility and margin trading

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. 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.
  3. 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.
  4. repec:adr:anecst:y:1991:i:24:p:01 is not listed on IDEAS
  5. 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.
  6. Shyu, Yih-Wen & Chan, Kam C. & Liang, Hsin-Yu, 2018. "Spillovers of price efficiency and informed trading from short sales to margin purchases in absence of uptick rule," Pacific-Basin Finance Journal, Elsevier, vol. 50(C), pages 163-183.
  7. 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.
  8. Dasilas, Apostolos, 2022. "The impact of margin trading and short selling on the investment-to-price sensitivity. Evidence from China," International Review of Financial Analysis, Elsevier, vol. 84(C).
  9. Kim, Hohyun & Kim, Kyoung Tae & Hanna, Sherman D., 2022. "The Effect of Investment Literacy on the Likelihood of Retail Investor Margin Trading and Having a Margin Call," Finance Research Letters, Elsevier, vol. 45(C).
  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. Lin, Yongjia & Wang, Yizhi & Fu, Xiaoqing (Maggie), 2022. "Margin purchases, short sales and stock return volatility in China: Evidence from the COVID-19 outbreak," Finance Research Letters, Elsevier, vol. 46(PA).
  12. 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.
  13. Joyce Hsieh & Chien-Chung Nieh, 2010. "An overview of Asian equity markets," Asian-Pacific Economic Literature, The Crawford School, The Australian National University, vol. 24(2), pages 19-51, November.
  14. 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.
  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.
  17. 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.
  18. 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-.
  19. 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.
  20. 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).
  21. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
  22. Li, Hao & Li, Zhisheng & Lin, Bingxuan & Xu, Xiaowei, 2019. "The effect of short sale constraints on analyst forecast quality: Evidence from a natural experiment in China," Economic Modelling, Elsevier, vol. 81(C), pages 338-347.
  23. 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.
  24. Hu, Conghui & Liu, Yu-Jane & Zhu, Ning, 2019. "De-Leverage and illiquidity contagion," Journal of Banking & Finance, Elsevier, vol. 102(C), pages 1-18.
  25. 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.
  26. 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.
  27. Wan, Xiaoyuan, 2020. "The impact of short-selling and margin-buying on liquidity: Evidence from the Chinese stock market," Journal of Empirical Finance, Elsevier, vol. 55(C), pages 104-118.
  28. Chang, Eric C. & Luo, Yan & Ren, Jinjuan, 2014. "Short-selling, margin-trading, and price efficiency: Evidence from the Chinese market," Journal of Banking & Finance, Elsevier, vol. 48(C), pages 411-424.
  29. Michael Grill & Karl Schmedders & Felix Kubler & Johannes Brumm, 2012. "Margin Requirements and Asset Prices," 2012 Meeting Papers 533, Society for Economic Dynamics.
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