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An empirical analysis of margin debt

  • Domian, Dale L.
  • Racine, Marie D.
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    File URL: http://www.sciencedirect.com/science/article/B6W4V-4F29FPY-1/2/5a24be66d9b38b2cace60b6fe58bd5c2
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    Article provided by Elsevier in its journal International Review of Economics & Finance.

    Volume (Year): 15 (2006)
    Issue (Month): 2 ()
    Pages: 151-163

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    Handle: RePEc:eee:reveco:v:15:y:2006:i:2:p:151-163
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/620165

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    1. Luckett, Dudley G, 1982. " On the Effectiveness of the Federal Reserve's Margin Requirement," Journal of Finance, American Finance Association, vol. 37(3), pages 783-95, June.
    2. 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 343-66, August.
    3. Granger, C. W. J., 1980. "Testing for causality : A personal viewpoint," Journal of Economic Dynamics and Control, Elsevier, vol. 2(1), pages 329-352, May.
    4. Paul H. Kupiec, 1997. "Margin requirements, volatility, and market integrity: what have we learned since the crash?," Finance and Economics Discussion Series 1997-22, Board of Governors of the Federal Reserve System (U.S.).
    5. 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.
    6. Peter Fortune, 2002. "Security loans at banks and nonbanks: Regulation U," New England Economic Review, Federal Reserve Bank of Boston, issue Q 4, pages 19-40.
    7. Christian Weller, 2002. "Policy on the margin: Evaluating the impact of margin debt requirements on stock valuations," Journal of Economics and Finance, Springer, vol. 26(1), pages 1-15, March.
    8. Kenneth A. Kim, 2002. "Initial Margin Requirements, Volatility, and the Individual Investor: Insights from Japan," The Financial Review, Eastern Finance Association, vol. 37(1), pages 1-15, 02.
    9. Gikas A. Hardouvelis & Steve Peristiani, 1990. "Margin requirements, speculative trading and stock price fluctuations: the case of Japan," Research Paper 9006, Federal Reserve Bank of New York.
    10. Gikas A. Hardouvelis, 1988. "Margin requirements and stock market volatility," Quarterly Review, Federal Reserve Bank of New York, issue Sum, pages 80-89.
    11. Gikas A. Hardouvelis & Panayiotis Theodossiou, 2002. "The Asymmetric Relation Between Initial Margin Requirements and Stock Market Volatility Across Bull and Bear Markets," Review of Financial Studies, Society for Financial Studies, vol. 15(5), pages 1525-1560.
    12. Peter Fortune, 2001. "Margin lending and stock market volatility," New England Economic Review, Federal Reserve Bank of Boston, pages 3-25.
    13. Officer, R R, 1973. "The Variability of the Market Factor of the New York Stock Exchange," The Journal of Business, University of Chicago Press, vol. 46(3), pages 434-53, July.
    14. Ferris, Stephen P. & Chance, Don M., 1988. "Margin requirements and stock market volatility," Economics Letters, Elsevier, vol. 28(3), pages 251-254.
    15. Thomas Gale Moore, 1966. "Stock Market Margin Requirements," Journal of Political Economy, University of Chicago Press, vol. 74, pages 158.
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