On relationship between initial margin requirements and volatility : New evidence from Japan Stock Market
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- 발행기관
- 한국재무학회 바로가기
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- 간행물
- 한국재무학회 학술대회 바로가기
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- 통권
- 2009년 5개 학회 공동학술연구발표회 (2009.05)바로가기
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- 페이지
- pp.1500-1557
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- 저자
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- 언어
- 영어(ENG)
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- URL
- https://www.earticle.net/Article/A242691
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원문정보
초록
- 영어
- This paper investigates on whether there is the asymmetric relation between initial margin requirements and volatility across bull and bear markets for Japanese TOPIX and NIKKEI225 index during 1970-1999. We use regression in levels to scrutinize relation between margin requirements and volatility. We find that there is negative relation. This result is confirmed significantly by bootstrap simulation. The findings show that margin requirement affects and causes stock return volatility. Thus higher margin requirements are associated with lower subsequent stock market volatility across during normal, but show no relationship during bull and bear markets from regression and EGARCH model. As matter of fact, we conclude no evidence that there is an asymmetric process, i.e., pyramiding and depyramiding effect in terms of bull and bear markets from Japanese TOPIX and NIKKEI225. However, for normal periods, we find that there is evidence of asymmetric process in Japanese stock market. In conclusion, we confirm that the policy tool of margin requirements does not work when stock market is in crash or bubble state.
목차
Abstract
1. Introduction
2. Theoretical Issues and Related Literatures
3. Institutional Characteristics
4. Data and Stationary issues
5. Regression analysis in levels
6. Is there a misspecification in regression in first-difference?
7. An asymmetric effect on across bull and bear markets
8. An EGARCH model for testing asymmetric effect
8.1 The conditional mean of stock market returns
8.2 The conditional variance of stock market returns
8.3 The distribution of the error term of conditional returns
9. The results from EGARCH model
9.1 The estimation result from the conditional mean equation of stock returns
9.2 The estimation result from the conditional volatility equation of stock returns without margin policy
9.3 The estimation result from the conditional volatility equation of stock returns with margin policy
10. Conclusions
References
키워드
Initial Margin Requirements Pyramiding or Depyramiding effect Volatility Bootstrap Simulation Granger causation EGARCH저자
간행물 정보
발행기관
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- 발행기관명
- 한국재무학회 [The Korean Finance Association]
- 설립연도
- 1988
- 분야
- 사회과학>경영학
- 소개
- 본 회는 재무학 및 이와 관련되는 분야를 발전시키며 회원 상호간의 친목 도모를 목적으로 한다.
간행물
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- 간행물명
- 한국재무학회 학술대회
- 간기
- 부정기
- 수록기간
- 2006~2024
- 십진분류
- KDC 325 DDC 330
이 권호 내 다른 논문 / 한국재무학회 학술대회 2009년 5개 학회 공동학술연구발표회
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