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- Title
Market Responses to Federal Reserve Changes in the Initial Margin Requirement.
- Authors
GRUBE, R. CORWIN; JOY, O. MAURICE; PANTON, DON B.
- Abstract
The article investigates the stock market response to a change in the initial margin requirements that was imposed by the United States Federal Reserve System. The hypothesis is that a price information effect resulting from margin changes will cause prices to go in the opposite direction--for example, margin increases will result in price decreases. However, a volume information effect will increase volume and is not dependent on the direction of a margin change. The intent of the Securities and Exchange Act of 1934 is mentioned, as well as the information-anticipation effect and the information-lag effect in the market.
- Subjects
UNITED States; FINANCIAL market reaction; MARGIN requirements; MATHEMATICAL models of investments; EXPECTED returns; BOARD of Governors of the Federal Reserve System (U.S.)
- Publication
Journal of Finance (Wiley-Blackwell), 1979, Vol 34, Issue 3, p659
- ISSN
0022-1082
- Publication type
Article
- DOI
10.1111/j.1540-6261.1979.tb02132.x