Margin Regulation and Stock Market Volatility

Journal Article (Journal Article)

Using daily and monthly stock returns we find no convincing evidence that Federal Reserve margin requirements have served to dampen stock market volatility. The contrary conclusion, expressed in recent papers by Hardouvelis (1988a, b), is traced to flaws in his test design. We do detect the expected negative relation between margin requirements and the amount of margin credit outstanding. We also confirm the recent finding by Schwert (1988) that changes in margin requirements by the Fed have tended to follow rather than lead changes in market volatility. 1990 The American Finance Association

Full Text

Duke Authors

Cited Authors


Published Date

  • January 1, 1990

Published In

Volume / Issue

  • 45 / 1

Start / End Page

  • 3 - 29

Electronic International Standard Serial Number (EISSN)

  • 1540-6261

International Standard Serial Number (ISSN)

  • 0022-1082

Digital Object Identifier (DOI)

  • 10.1111/j.1540-6261.1990.tb05078.x

Citation Source

  • Scopus