The use of margin requirements as a potential policy tool for controlling sudden stock price changes and market volatility has attracted considerable attention in the developed stock markets. However, no consensus has emerged regarding the significance of the impact of changes in margin requirement of the stock market. The existing analyses are extended to test the impact of changes in margin requirements on stock prices in an emerging stock market. Using recent data from the Stock Exchange of Thailand, margin requirements are demonstrated to have an important impact on the behaviour of stock prices. Increases (decreases) in margin requirements usually lead to a downward (upward) trend in stock prices. An interesting aspect of the result is the apparently asymmetric nature of the response of stock prices to changes in margin requirements. The market appears to respond immediately and forcefully to a decrease in the margin requirements; whereas the response to an increase in margin requirements is much slower and weaker.