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
- HSIEH, DA; MILLER, MH
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