Economics at your fingertips  

Margin Requirements, Volatility, and the Transitory Components of Stock Prices

Gikas Hardouvelis ()

American Economic Review, 1990, vol. 80, issue 4, 736-62

Abstract: Official margin requirements in the U.S. stock market were established in October 1934 to limit the amount of credit available for the purpose of buying stocks. Since then, higher or rising margin requirements are associated with lower stock price volatility, lower excess volatility, and smaller deviations of stock prices from their fundamental values. The results hold throughout the post-1934 period and are not very sensitive to the exclusion of the turbulent depression years from the sample. Thus, margin requirements seem to be an effective policy tool in curbing destabilizing speculation. Copyright 1990 by American Economic Association.

Date: 1990
References: Add references at CitEc
Citations: View citations in EconPapers (50) Track citations by RSS feed

Downloads: (external link) ... O%3B2-L&origin=repec full text (application/pdf)
Access to full text is restricted to JSTOR subscribers. See for details.

Related works:
Working Paper: Margin requirements, volatility and the transitory component of stock prices (1989)
Working Paper: Margin requirements, volatility, and the transitory component of stock prices (1988)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Ordering information: This journal article can be ordered from

Access Statistics for this article

American Economic Review is currently edited by Esther Duflo

More articles in American Economic Review from American Economic Association Contact information at EDIRC.
Bibliographic data for series maintained by Michael P. Albert ().

Page updated 2023-06-17
Handle: RePEc:aea:aecrev:v:80:y:1990:i:4:p:736-62