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Margin requirements and stock market volatility Another look at the case of Taiwan

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  • Hsu, Yenshan

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  • Hsu, Yenshan, 1996. "Margin requirements and stock market volatility Another look at the case of Taiwan," Pacific-Basin Finance Journal, Elsevier, vol. 4(4), pages 409-419, December.
    • Handle: RePEc:eee:pacfin:v:4:y:1996:i:4:p:409-419
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    References listed on IDEAS

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    1. Gikas A. Hardouvelis, 1988. "Margin requirements and stock market volatility," Quarterly Review, Federal Reserve Bank of New York, vol. 13(Sum), pages 80-89.
    2. Hardouvelis, Gikas A, 1990. "Margin Requirements, Volatility, and the Transitory Components of Stock Prices," American Economic Review, American Economic Association, vol. 80(4), pages 736-762, September.
    3. Schwert, C.W., 1989. "Margin Requirements And Stock Volatility," Papers t6, Columbia - Center for Futures Markets.
    4. De Long, J Bradford & Andrei Shleifer & Lawrence H. Summers & Robert J. Waldmann, 1990. "Noise Trader Risk in Financial Markets," Journal of Political Economy, University of Chicago Press, vol. 98(4), pages 703-738, August.
    5. Schwert, G William, 1989. " Why Does Stock Market Volatility Change over Time?," Journal of Finance, American Finance Association, vol. 44(5), pages 1115-1153, December.
    6. Engle, Robert & Granger, Clive, 2015. "Co-integration and error correction: Representation, estimation, and testing," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 39(3), pages 106-135.
    7. Gikas A. Hardouvelis & Stavros Peristiani, 1992. "Margin Requirements, Speculative Trading, and Stock Price Fluctuations: The Case of Japan," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 107(4), pages 1333-1370.
    8. 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.
    9. Kumar, Raman & Ferris, Stephen P & Chance, Don M, 1991. "The Differential Impact of Federal Reserve Margin Requirements on Stock Return Volatility," The Financial Review, Eastern Finance Association, vol. 26(3), pages 343-366, August.
    10. Lee, Sang Bin & Yoo, Tae Yol, 1993. "Margin regulation and stock market volatility: further evidence from Japan, Korea and Taiwan," Pacific-Basin Finance Journal, Elsevier, vol. 1(2), pages 155-174, May.
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    Cited by:

    1. Chen-Yu Chen & Jian-Hsin Chou & Hung-Gay Fung & Yiuman Tse, 2017. "Setting the futures margin with price limits: the case for single-stock futures," Review of Quantitative Finance and Accounting, Springer, vol. 48(1), pages 219-237, January.

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