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Margin requirements and stock market volatility

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  • Gikas A. Hardouvelis

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File URL: http://www.newyorkfed.org/research/quarterly_review/1988v13/v13n2article7.pdf
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Bibliographic Info

Article provided by Federal Reserve Bank of New York in its journal Quarterly Review.

Volume (Year): (1988)
Issue (Month): Sum ()
Pages: 80-89

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Handle: RePEc:fip:fednqr:y:1988:i:sum:p:80-89:n:v.13no.2

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Keywords: Margins (Security trading) ; Stock market ; Stocks;

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Cited by:
  1. S. Rao Aiyagari & Mark Gertler, 1998. ""Overreaction" of Asset Prices in General Equilibrium," NBER Working Papers 6747, National Bureau of Economic Research, Inc.
  2. Paul H. Kupiec, 1997. "Margin requirements, volatility, and market integrity: what have we learned since the crash?," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 1997-22, Board of Governors of the Federal Reserve System (U.S.).
  3. Joyce Hsieh & Chien-Chung Nieh, 2010. "An overview of Asian equity markets," Asian-Pacific Economic Literature, Asia Pacific School of Economics and Government, The Australian National University, Asia Pacific School of Economics and Government, The Australian National University, vol. 24(2), pages 19-51, November.
  4. Peter Fortune, 2001. "Margin lending and stock market volatility," New England Economic Review, Federal Reserve Bank of Boston, pages 3-25.
  5. Hsu, Yenshan, 1996. "Margin requirements and stock market volatility Another look at the case of Taiwan," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 4(4), pages 409-419, December.
  6. Domian, Dale L. & Racine, Marie D., 2006. "An empirical analysis of margin debt," International Review of Economics & Finance, Elsevier, Elsevier, vol. 15(2), pages 151-163.
  7. Aiyagari, S.R. & Gertler, M., 1998. ""Overreaction" of Asset Prices in General Equilibrium," Working Papers, C.V. Starr Center for Applied Economics, New York University 98-25, C.V. Starr Center for Applied Economics, New York University.
  8. Michailidis, G., 2009. "Multivariate methods in examining macroeconomic variables effect on Greek stock market returns, 1997-2004," Applied Econometrics and International Development, Euro-American Association of Economic Development, Euro-American Association of Economic Development, vol. 9(1).
  9. 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, Elsevier, vol. 10(4), pages 549-574, September.
  10. Zhang, Ting & Li, Honggang, 2013. "Buying on margin, selling short in an agent-based market model," Physica A: Statistical Mechanics and its Applications, Elsevier, Elsevier, vol. 392(18), pages 4075-4082.
  11. repec:fth:starer:9825 is not listed on IDEAS

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