The Asymmetric Relation Between Initial Margin Requirements and Stock Market Volatility Across Bull and Bear Markets

@inproceedings{Hardouvelis2001TheAR,
  title={The Asymmetric Relation Between Initial Margin Requirements and Stock Market Volatility Across Bull and Bear Markets},
  author={Gikas A. Hardouvelis and Panayiotis Theodossiou},
  year={2001}
}
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… CONTINUE READING

Similar Papers

Citations

Publications citing this paper.
SHOWING 1-10 OF 34 CITATIONS

Paper Series N ° 1359 Margin Regulation and Volatility

VIEW 2 EXCERPTS
CITES RESULTS & BACKGROUND
HIGHLY INFLUENCED