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An empirical analysis of margin debt

  • Domian, Dale L.
  • Racine, Marie D.
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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
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    1. Paul H. Kupiec, 1997. "Margin Requirements, Volatility, and Market Integrity: What Have We Learned Since The Crash?," FMG Special Papers sp97, Financial Markets Group.
    2. 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.
    3. 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.
    4. 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.
    5. 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.
    6. Thomas Gale Moore, 1966. "Stock Market Margin Requirements," Journal of Political Economy, University of Chicago Press, vol. 74, pages 158.
    7. 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.
    8. 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.
    9. Peter Fortune, 2001. "Margin lending and stock market volatility," New England Economic Review, Federal Reserve Bank of Boston, pages 3-25.
    10. 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.
    11. Ferris, Stephen P. & Chance, Don M., 1988. "Margin requirements and stock market volatility," Economics Letters, Elsevier, vol. 28(3), pages 251-254.
    12. 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.
    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. 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.
    15. Gikas A. Hardouvelis, 1988. "Margin requirements and stock market volatility," Quarterly Review, Federal Reserve Bank of New York, issue Sum, pages 80-89.
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