Stock margins and the condition probability of price reversals

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Stock margins and the condition probability of price reversals

Author Info

Paul Kofman
James T. Moser

Additional information is available for the following registered author(s):

James T. Moser

Abstract

Does the cost of trading affect stock prices? Yes, according to the evidence in this article. The authors find that high costs seem to reduce the frequency of price reversals.

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Publisher Info
Article provided by Federal Reserve Bank of Chicago in its journal Economic Perspectives.

Volume (Year): (2001)
Issue (Month): Q III ()
Pages: 2-12
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Handle: RePEc:fip:fedhep:y:2001:i:qiii:p:2-12:n:v.25no.3

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Related research
Keywords: Stocks ; Stock - Prices;

Other versions of this item:

Paper
- Paul Kofman & James T. Moser, 1993. "Stock margins and the conditional probability of price reversals," Working Paper Series, Issues in Financial Regulation 93-5, Federal Reserve Bank of Chicago.

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

Summers, Lawrence H, 1986. " Does the Stock Market Rationally Reflect Fundamental Values?," Journal of Finance, American Finance Association, vol. 41(3), pages 591-601, July. [Downloadable!] (restricted)
Hsieh, David A & Miller, Merton H, 1990. " Margin Regulation and Stock Market Volatility," Journal of Finance, American Finance Association, vol. 45(1), pages 3-29, March. [Downloadable!] (restricted)
Bessembinder, Hendrik & Seguin, Paul J., 1993. "Price Volatility, Trading Volume, and Market Depth: Evidence from Futures Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 28(01), pages 21-39, March. [Downloadable!]
De Long, J Bradford, et al, 1990. " Positive Feedback Investment Strategies and Destabilizing Rational Speculation," Journal of Finance, American Finance Association, vol. 45(2), pages 379-95, June. [Downloadable!] (restricted)
Other versions:
- J. Bradford De Long & Andrei Shleifer & Lawrence H. Summers & Robert J. Waldmann, 1989. "Positive Feedback Investment Strategies and Destabilizing Rational Speculation," NBER Working Papers 2880, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May. [Downloadable!] (restricted)
Hardouvelis, Gikas A, 1990. "Margin Requirements, Volatility, and the Transitory Components of Stock Prices," American Economic Review, American Economic Association, vol. 80(4), pages 736-62, September. [Downloadable!] (restricted)
Other versions:
- Hardouvelis, G.A., 1988. "Margin Requirements, Volatility, And The Transitory Component Of Stock Prices," Papers fb-_88-38, Columbia - Graduate School of Business.
- Gikas A. Hardouvelis, 1988. "Margin requirements, volatility, and the transitory component of stock prices," Research Paper 8818, Federal Reserve Bank of New York.
- Gikas A. Hardouvelis, 1989. "Margin requirements, volatility and the transitory component of stock prices," Research Paper 8909, Federal Reserve Bank of New York.
Schwert, G William, 1990. "Indexes of U.S. Stock Prices from 1802 to 1987," Journal of Business, University of Chicago Press, vol. 63(3), pages 399-426, July. [Downloadable!] (restricted)
Stoll, Hans R & Whaley, Robert E, 1990. "Program Trading and Individual Stock Returns: Ingredients of the Triple-Witching Brew," Journal of Business, University of Chicago Press, vol. 63(1), pages S165-92, January. [Downloadable!] (restricted)
Campbell, John Y & Grossman, Sanford J & Wang, Jiang, 1993. "Trading Volume and Serial Correlation in Stock Returns," The Quarterly Journal of Economics, MIT Press, vol. 108(4), pages 905-39, November. [Downloadable!] (restricted)
Other versions:
- John Y. Campbell & Sanford J. Grossman & Jiang Wang, 1992. "Trading Volume and Serial Correlation in Stock Returns," NBER Working Papers 4193, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
Anat R. Admati, Paul Pfleiderer, 1988. "A Theory of Intraday Patterns: Volume and Price Variability," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 1(1), pages 3-40. [Downloadable!] (restricted)
Lo, Andrew W. & Craig MacKinlay, A., 1990. "An econometric analysis of nonsynchronous trading," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 181-211. [Downloadable!] (restricted)
Other versions:
- Andrew W. Lo & A. Craig MacKinlay, 1991. "An Econometric Analysis of Nonsynchronous Trading," NBER Working Papers 2960, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
- Andrew W. Lo & Craig A. MacKinlay, . "An Econometric Analysis of Nonsyschronous-Trading," Rodney L. White Center for Financial Research Working Papers 19-89, Wharton School Rodney L. White Center for Financial Research.
Black, Fischer, 1986. " Noise," Journal of Finance, American Finance Association, vol. 41(3), pages 529-43, July. [Downloadable!] (restricted)
James T. Moser, 1992. "Determining margin for futures contracts: the role of private interests and the relevance of excess volatility," Economic Perspectives, Federal Reserve Bank of Chicago, issue Mar, pages 2-18. [Downloadable!]
Salinger, M.A., 1989. "Stock Market Margin Requirements And Volatility: Implications For Regulation Of Stock Index Futures," Papers t4, Columbia - Center for Futures Markets.

Full references

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

Peter Fortune, 2001. "Margin lending and stock market volatility," New England Economic Review, Federal Reserve Bank of Boston, pages 3-25. [Downloadable!]

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This page was last updated on 2009-12-15.

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