The effect of margins on the volatility of stock and derivative markets: a review of the evidence
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| Main Author: | |
|---|---|
| Format: | Book |
| Language: | Undetermined |
| Published: |
New York, NY
New York Univ., Salomon Center, Leonard N. Stern School of Business
1990
|
| Series: | Monograph series in finance and economics
1990,2 |
| Links: | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=018349173&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| Physical Description: | 65 S. |
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MARC
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| 245 | 1 | 0 | |a The effect of margins on the volatility of stock and derivative markets |b a review of the evidence |c by Don M. Chance |
| 264 | 1 | |a New York, NY |b New York Univ., Salomon Center, Leonard N. Stern School of Business |c 1990 | |
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Record in the Search Index
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| adam_text | TABLE OF CONTENTS
I. Introduction 1
II. The Role of Margin Requirements in
Financial Markets 2
A. Margining Systems in Securities Markets 2
B. Margining Systems in Futures Markets 3
C. The Objectives of Margin Regulation 4
III. Fundamental Differences Between Cash
and Futures Markets and Margins 6
IV. The Adequacy of Margins for the
Preservation of Market Integrity 10
A. Margins as a Tool for the Control of
Speculation and Volatility 12
B. The Arguments for Margins as a Means of
Controlling Volatility 12
C. The Arguments Against Margins as a
Means of Controlling Volatility 13
V. The Likely Effects of Margin Changes 15
VI. Empirical Research on the Effects of Margin
Changes 17
A. The Behavior of Stock Prices Around
Margin Changes 17
B. The Behavior of OTC Stocks Around
Eligibility for Margin Trading 18
C. The Reaction of Stock Prices to
Temporarily Higher Margins 19
D. The Effect of Futures Margin Changes on
Open Interest and Volume 20
E. The Effects of Margins on the Statistical
Properties of Futures Prices 21
F. The Effect of Margin Changes on Cash
Market Volatility 22
G. The Effect of Margin Changes on Futures
Market Volatility 27
VII. Conclusions 29
References 30
Appendices 36
Copyright 1990 New York University
|
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| bvnumber | BV024368438 |
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| id | DE-604.BV024368438 |
| illustrated | Not Illustrated |
| indexdate | 2024-12-20T13:53:59Z |
| institution | BVB |
| language | Undetermined |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-018349173 |
| oclc_num | 696022214 |
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| physical | 65 S. |
| publishDate | 1990 |
| publishDateSearch | 1990 |
| publishDateSort | 1990 |
| publisher | New York Univ., Salomon Center, Leonard N. Stern School of Business |
| record_format | marc |
| series | Monograph series in finance and economics |
| series2 | Monograph series in finance and economics |
| spellingShingle | Chance, Don M. 1951- The effect of margins on the volatility of stock and derivative markets a review of the evidence Monograph series in finance and economics |
| title | The effect of margins on the volatility of stock and derivative markets a review of the evidence |
| title_auth | The effect of margins on the volatility of stock and derivative markets a review of the evidence |
| title_exact_search | The effect of margins on the volatility of stock and derivative markets a review of the evidence |
| title_full | The effect of margins on the volatility of stock and derivative markets a review of the evidence by Don M. Chance |
| title_fullStr | The effect of margins on the volatility of stock and derivative markets a review of the evidence by Don M. Chance |
| title_full_unstemmed | The effect of margins on the volatility of stock and derivative markets a review of the evidence by Don M. Chance |
| title_short | The effect of margins on the volatility of stock and derivative markets |
| title_sort | the effect of margins on the volatility of stock and derivative markets a review of the evidence |
| title_sub | a review of the evidence |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=018349173&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV002798028 |
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