The Asymmetric Relation Between Initial Margin Requirements and Stock Market Volatility Across Bull and Bear Markets

By Gikas A. Hardouvelis, Panayiotis Theodossiou. 2002

115 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/7ae038eb87aeee69b85c4b19732c3f8d61667dad

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In Economics and Econometrics

1. S. Lizarazo

In Finance

1. S. Lizarazo

Citations in the corpus

• Option Strategies: Good Deals and Margin Calls (2009, unknown): “We also use data from Hardouvelis and Peristiani (1992), Hardouvelis and Theodossiou (2002), Hsieh and Miller (1990), Largay and West (1973) study the impact of changes in margin requirements on volatility.”
• How Does U.S. Monetary Policy Influence Sovereign Spreads in Emerging Markets? (2001, background): “For example, the work of Hardouvelis (1989) in exploring the link between the level of margin requirements and stock market volatility in the United States was based on a moving average representation for volatility of real stock returns.”