The Irrelevance of Margin: Evidence form the Crash of'87
AbstractFollowing the crash of 1987, one contentious regulatory issue has been whether margin activity exacerbated the decline in equity values. The authors contrast the crash behavior of NASDAQ securities eligible for margin trading with the behavior of ineligible ones. Consistent with the hypothesis that margin-eligible securities were more frequently subjected to margin calls and forced sales, they find that abnormal volumes were uniformly larger for eligible securities. However, there is no evidence that this activity provoked additional price depreciation. Margin-eligible securities actually fell by one percent less than the ineligible securities over the period. Copyright 1993 by American Finance Association.
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Bibliographic InfoArticle provided by American Finance Association in its journal Journal of Finance.
Volume (Year): 48 (1993)
Issue (Month): 4 (September)
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- Anufriev, M. & Tuinstra, J., 2013.
"The impact of short-selling constraints on financial market stability in a heterogeneous agents model,"
CeNDEF Working Papers
13-01, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
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- Mikhail Anufriev & Jan Tuinstra, 2013. "The Impact of Short-Selling Constraints on Financial Market Stability in a Heterogeneous Agents Model," Working Paper Series 3, Economics Discipline Group, UTS Business School, University of Technology, Sydney.
- 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.
- Warren Bailey & Lin Zheng, 2013. "Banks, Bears, and the Financial Crisis," Journal of Financial Services Research, Springer, vol. 44(1), pages 1-51, August.
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