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Initial Margin Requirements, Volatility, and the Individual Investor: Insights from Japan
Author(s) -
Kim Kenneth A.,
Oppenheimer Henry R.
Publication year - 2002
Publication title -
financial review
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.621
H-Index - 47
eISSN - 1540-6288
pISSN - 0732-8516
DOI - 10.1111/1540-6288.00001
Subject(s) - volatility (finance) , margin (machine learning) , economics , affect (linguistics) , monetary economics , empirical evidence , financial economics , empirical research , econometrics , business , computer science , psychology , philosophy , epistemology , machine learning , communication
Initial margin requirements represent: (1) a cost impediment to the wealth constrained investor and (2) a potential way of mitigating excessive volatility. However, prior empirical research finds that margins are not an effective tool in reducing volatility. We consider the possibility that margins primarily affect certain stocks and investors. Specifically, we test whether margins affect individuals who, as a group, we believe to be the investors most affected when margin requirements change. Our initial empirical tests, however, do not support this contention.