← Search

Margin Requirements, Speculative Trading, and Stock Price Fluctuations: The Case of Japan

G. A. Hardouvelis^1,2; S. Peristiani³

¹ Rutgers, The State University of New Jersey · ² Rutgers Sexual and Reproductive Health and Rights · ³ Federal Reserve Bank of New York

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.

DOI

10.2307/2118391

Volume

107 (4)

Pages

1333-1370

Language

en

Export

BibTeX

Sources

crossref openalex