Please use this identifier to cite or link to this item: https://ktisis.cut.ac.cy/handle/10488/14458
Title: The Asymmetric Relation between Initial Margin Requirements and Stock Market Volatility Across Bull and Bear Markets
Authors: Theodossiou, Panayiotis 
Hardouvelis, Gikas 
Category: Economics and Business
Field: Social Sciences
Issue Date: 2002
Source: Review of Financial Studies, Volume 15, Issue 5, Winter 2002, Pages 1525-1559
Journal: The Asymmetric Relation between Initial Margin Requirements and Stock Market Volatility Across Bull and Bear Markets 
Conference: Review of Financial Studies 
Abstract: Higher initial margin requirements are associated with lower subsequent stock market volatility during normal and bull periods, but show no relationship during bear periods. Higher margins are also negatively related to the conditional mean of stock returns, apparently because they reduce systemic risk. We conclude that a prudential rule for setting margins (or other regulatory restrictions) is to lower them in sharply declining markets in order to enhance liquidity and avoid a depyramiding effect in stock prices, but subsequently raise them and keep them at the higher level in order to prevent a future pyramiding effect.
URI: https://ktisis.cut.ac.cy/handle/10488/14458
DOI: 10.1093/rfs/15.5.1525
Rights: © Copyright 2017 Elsevier B.V.
Type: Article
Appears in Collections:Άρθρα/Articles

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