Margin Regulation and Stock Market Volatility
Publication
, Journal Article
HSIEH, DA; MILLER, MH
Published in: The Journal of Finance
January 1, 1990
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
Duke Scholars
Published In
The Journal of Finance
DOI
EISSN
1540-6261
ISSN
0022-1082
Publication Date
January 1, 1990
Volume
45
Issue
1
Start / End Page
3 / 29
Related Subject Headings
- Finance
- 3801 Applied economics
- 3502 Banking, finance and investment
- 1502 Banking, Finance and Investment
Citation
APA
Chicago
ICMJE
MLA
NLM
HSIEH, D. A., & MILLER, M. H. (1990). Margin Regulation and Stock Market Volatility. The Journal of Finance, 45(1), 3–29. https://doi.org/10.1111/j.1540-6261.1990.tb05078.x
HSIEH, D. A., and M. H. MILLER. “Margin Regulation and Stock Market Volatility.” The Journal of Finance 45, no. 1 (January 1, 1990): 3–29. https://doi.org/10.1111/j.1540-6261.1990.tb05078.x.
HSIEH DA, MILLER MH. Margin Regulation and Stock Market Volatility. The Journal of Finance. 1990 Jan 1;45(1):3–29.
HSIEH, D. A., and M. H. MILLER. “Margin Regulation and Stock Market Volatility.” The Journal of Finance, vol. 45, no. 1, Jan. 1990, pp. 3–29. Scopus, doi:10.1111/j.1540-6261.1990.tb05078.x.
HSIEH DA, MILLER MH. Margin Regulation and Stock Market Volatility. The Journal of Finance. 1990 Jan 1;45(1):3–29.
Published In
The Journal of Finance
DOI
EISSN
1540-6261
ISSN
0022-1082
Publication Date
January 1, 1990
Volume
45
Issue
1
Start / End Page
3 / 29
Related Subject Headings
- Finance
- 3801 Applied economics
- 3502 Banking, finance and investment
- 1502 Banking, Finance and Investment