Read Books Online and Download eBooks, EPub, PDF, Mobi, Kindle, Text Full Free.
The Relationship Between Margin Changes And Volatility In Futures Markets
Download The Relationship Between Margin Changes And Volatility In Futures Markets full books in PDF, epub, and Kindle. Read online The Relationship Between Margin Changes And Volatility In Futures Markets ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
Book Synopsis The Relationship Between Margin Changes and Volatility in Futures Markets by : Ya Cai
Download or read book The Relationship Between Margin Changes and Volatility in Futures Markets written by Ya Cai and published by . This book was released on 2015 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: Traders in futures markets are required to deposit initial margin requirements for their open futures positions and maintain minimum margin requirements for these open positions. Futures exchanges set these margin requirements and require higher margin requirements for more volatile contracts. It has been argued that futures exchanges may use changing margin requirements to control the volatility of futures contracts and this question is still of interest. To address this question, I investigate the relationship between margin changes and futures price volatility for 24 different futures contracts, which include contracts on agricultural commodities, livestock, equity indices, interest rate and foreign currency. I provide evidence using univariate tests that the futures price volatility is significantly reduced following margin increases, while the futures price volatility increases but to a lesser extent following margin decreases. A regression analysis shows that larger margin changes have a greater negative effect on the futures price volatility. This relationship holds for the different futures contracts. Finally, it may be argued that margin requirements and futures price volatility are endogeneous variables. To address the potential presence of endogeneity, I employ the instrumental variables technique along with two stages least squares estimation and find that the inverse relationship between margin changes and volatility still holds.
Book Synopsis Margin Changes and Futures Trading Activity by : Antonis A. Aristidou
Download or read book Margin Changes and Futures Trading Activity written by Antonis A. Aristidou and published by . This book was released on 2008 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper examines the impact of margins, adjusted for underlying price risk proxied by market volatility, on trading volume and at the same time incorporates the relationship between trading volume and price volatility documented in equities and futures markets. The study estimates bivariate GARCH-M models to take account of the inter-relationships and applies them to the Greek derivatives market over the period 1999-2005. The results show that when adjusting margins for market risk there is no impact on trading volume, casting doubts on the results of previous research, and providing support for the view that margin requirements are used only as a mechanism to prevent trader default.
Book Synopsis Evidence on the Impact of Futures Margin Specifications on the Performances of Futures and Cash Markets by : James T. Moser
Download or read book Evidence on the Impact of Futures Margin Specifications on the Performances of Futures and Cash Markets written by James T. Moser and published by . This book was released on 1990 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Margin Requirements, Volatility, and Market Integrity by : Paul H. Kupiec
Download or read book Margin Requirements, Volatility, and Market Integrity written by Paul H. Kupiec and published by . This book was released on 1997 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Regulatory Reform of Stock and Futures Markets by : Franklin R. Edwards
Download or read book Regulatory Reform of Stock and Futures Markets written by Franklin R. Edwards and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 201 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Initial Margin Policy and Stochastic Volatility in the Crude Oil Futures Market by : Theodore E. Day
Download or read book Initial Margin Policy and Stochastic Volatility in the Crude Oil Futures Market written by Theodore E. Day and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the relation between the volatility of the crude oil futures market and changes in initial margin requirements. To closely match changes in futures market volatility with the corresponding changes in margin requirements, we infer the volatility of the futures market from the prices of crude oil futures options contracts. Using a mean-reverting diffusion process for volatility, we show changes in margin policy do not affect subsequent market volatility.
Book Synopsis Futures Margins as Predictors of Price Volatility by : Douglas T. Breeden
Download or read book Futures Margins as Predictors of Price Volatility written by Douglas T. Breeden and published by . This book was released on 1985 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Financial Market Volatility and the Implications for Market Regulation by : Louis O. Scott
Download or read book Financial Market Volatility and the Implications for Market Regulation written by Louis O. Scott and published by International Monetary Fund. This book was released on 1990-11-01 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt: Volatility in financial markets has forced economists to reexamine the validity of the efficient markets hypothesis, and new empirical approaches have been applied to the study of this important issue in recent years. Many of the recent studies have found evidence of excessive volatility. In the aftermath of the stock market crash of 1987 and the perceived increase in market volatility, some economists have advocated additional market regulations. Are these proposed regulations necessary and would they serve to reduce market volatility? This paper presents a review of recent studies on financial market volatility and examines the proposed regulations.
Book Synopsis Futures Margins and Stock Price Volatility by : Paul H. Kupiec
Download or read book Futures Margins and Stock Price Volatility written by Paul H. Kupiec and published by . This book was released on 1990 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Margins & Market Integrity written by and published by Irwin Professional Publishing. This book was released on 1991 with total page 392 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis An Empirical Investigation Into the Effects of Margin Requirements in Organized Commodity Futures Markets by : Wesley George McCain
Download or read book An Empirical Investigation Into the Effects of Margin Requirements in Organized Commodity Futures Markets written by Wesley George McCain and published by . This book was released on 1969 with total page 240 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Margin-Volatility Relationship by : Francois M. Longin
Download or read book The Margin-Volatility Relationship written by Francois M. Longin and published by . This book was released on 2000 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper re-examines the margin-volatility relationship in the U.S. stock market. In previous studies volatility has been measured by the variance of asset returns. Equity markets instability has, however, often been related to extreme price movements like stock market booms and crashes. These events indeed prompted the existing margin regulation. Using extreme value theory, I propose a new measure for volatility based on the tail index which reflects the weight of extremes in the distribution of asset returns. The tail index avoids many shortcomings of the variance. Statistical regressions show that there is no significant relationship between margin requirement and volatility and also no significant relationship between change in margin requirement and change in volatility.
Book Synopsis Estimating Volatilities for Setting Margins for Soybean Futures by : John Gerard Shane
Download or read book Estimating Volatilities for Setting Margins for Soybean Futures written by John Gerard Shane and published by . This book was released on 1988 with total page 378 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Effects of Margin Changes on the Composition of Traders and Market Liquidity by : Robin K. Chou
Download or read book The Effects of Margin Changes on the Composition of Traders and Market Liquidity written by Robin K. Chou and published by . This book was released on 2014 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine the effects of margin changes on futures trading activity, the composition of traders and market liquidity, using an account level data set from the Taiwan Futures Exchange. We find that margin increases reduce trading activity for all trader types, which is consistent with the hypothesis that higher margins increase the costs of trading. Institutional traders are more sensitive to changes in margin requirements than individual traders, because their trading activity decreases significantly more than that of individual traders. This in turn leads to increases in market price volatility and decreases in market liquidity. These results imply that margin requirement is not an effective policy tool in limiting the trading activity of noise speculators to reduce market volatility.
Book Synopsis Initial Margin Requirements and Stock Returns Volatility by : Paul H. Kupiec
Download or read book Initial Margin Requirements and Stock Returns Volatility written by Paul H. Kupiec and published by . This book was released on 1989 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis An Empirical Analysis of Futures Margin Changes by : Nicole Abruzzo
Download or read book An Empirical Analysis of Futures Margin Changes written by Nicole Abruzzo and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Review of Futures Markets written by and published by . This book was released on 1994 with total page 1274 pages. Available in PDF, EPUB and Kindle. Book excerpt:
