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| Field |
Value |
| Title: | Margin requirements and stock market volatility: Another look at the case of Taiwan |
| Authors: | 徐燕山
Hsu, Yen-Shan |
| Keywords: | Margin requirements; Volatility |
| Date: | 1996-12 |
| Issue Date: | 2008-11-05 16:58:26 (UTC+8) |
| Abstract: | This paper examines the effects of margin requirements on the stock market volatility of
the Category A stock price index and Category B stock price index in the Taiwan Stock
Market. Although we find significant short-term relationships between margin changes and
volatility in a few cases, the empirical evidence presented in this paper is somewhat mixed.
However, some weak evidence indicates that margin changes Granger-cause volatility for
Category B stocks. The more speculative stocks are affected more by margin requirements. |
| Relation: | Pacific-Basin Finance Journal, 4(4), 409-419 |
| Data Type: | article |
| DOI: | http://dx.doi.org/10.1016/S0927-538X(96)00006-6 |
| DCField |
Value |
Language |
| dc.creator (Authors) | 徐燕山 | zh_TW |
| dc.creator (Authors) | Hsu, Yen-Shan | - |
| dc.date (Date) | 1996-12 | en_US |
| dc.date.accessioned | 2008-11-05 16:58:26 (UTC+8) | - |
| dc.date.available | 2008-11-05 16:58:26 (UTC+8) | - |
| dc.date.issued (Issue Date) | 2008-11-05 16:58:26 (UTC+8) | - |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/6112 | - |
| dc.description.abstract (Abstract) | This paper examines the effects of margin requirements on the stock market volatility of
the Category A stock price index and Category B stock price index in the Taiwan Stock
Market. Although we find significant short-term relationships between margin changes and
volatility in a few cases, the empirical evidence presented in this paper is somewhat mixed.
However, some weak evidence indicates that margin changes Granger-cause volatility for
Category B stocks. The more speculative stocks are affected more by margin requirements. | - |
| dc.format | application/ | en_US |
| dc.language (Language) | en | en_US |
| dc.language (Language) | en-US | en_US |
| dc.language.iso | en_US | - |
| dc.relation (Relation) | Pacific-Basin Finance Journal, 4(4), 409-419 | en_US |
| dc.subject (Keywords) | Margin requirements; Volatility | - |
| dc.title (Title) | Margin requirements and stock market volatility: Another look at the case of Taiwan | en_US |
| dc.type (Data Type) | article | en |
| dc.identifier.doi (DOI) | 10.1016/S0927-538X(96)00006-6 | en_US |
| dc.doi.uri | http://dx.doi.org/10.1016/S0927-538X(96)00006-6 | en_US |
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