Margin Requirements, Speculative Trading, and Stock Price Fluctuations: The Case of Japan
Gikas A. Hardouvelis and
Stavros Peristiani ()
The Quarterly Journal of Economics, 1992, vol. 107, issue 4, 1333-1370
Abstract:
An increase in margin requirements in the First Section of the Tokyo Stock Exchange is followed by a decline in margin borrowing, trading volume, the proportion of trading performed through margin accounts, the growth in stock prices, and the conditional volatility of daily returns. The nonmarginable Second Section stocks show a smaller change in volatility and only a delayed weak price response. The hypothesis that margin requirements restrict the behavior of destabilizing speculators can explain these correlations but cannot explain the observation that individuals, the most active users of margin funds, appear to be good market timers.
Date: 1992
References: Add references at CitEc
Citations: View citations in EconPapers (44)
Downloads: (external link)
http://hdl.handle.net/10.2307/2118391 (application/pdf)
Access to full text is restricted to subscribers.
Related works:
Working Paper: Margin requirements, speculative trading and stock price fluctuations: the case of Japan (1990)
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: https://EconPapers.repec.org/RePEc:oup:qjecon:v:107:y:1992:i:4:p:1333-1370.
Ordering information: This journal article can be ordered from
https://academic.oup.com/journals
Access Statistics for this article
The Quarterly Journal of Economics is currently edited by Robert J. Barro, Lawrence F. Katz, Nathan Nunn, Andrei Shleifer and Stefanie Stantcheva
More articles in The Quarterly Journal of Economics from President and Fellows of Harvard College
Bibliographic data for series maintained by Oxford University Press ().