Can Change in Margin Requirement Decrease Stock Market Volatility?-The Studies of Taiwan, South Korea and Japan
碩士 === 樹德科技大學 === 金融保險研究所 === 91 === Changes in margin requirement are an important and common practice for the stock markets of Taiwan, South Korea and Japan. It is expected to have a significant effect on stock market activities for the purpose of prevention of excessive stock price volatility. Th...
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ndltd-TW-091STU002180062015-10-13T13:35:30Z http://ndltd.ncl.edu.tw/handle/55962691422691403738 Can Change in Margin Requirement Decrease Stock Market Volatility?-The Studies of Taiwan, South Korea and Japan 保證金成數改變是否能降低股票市場波動?-以台灣、南韓及日本為例 Shu Li Huang 黃淑麗 碩士 樹德科技大學 金融保險研究所 91 Changes in margin requirement are an important and common practice for the stock markets of Taiwan, South Korea and Japan. It is expected to have a significant effect on stock market activities for the purpose of prevention of excessive stock price volatility. The assumption underlying the use of changing margin requirements as a policy tool is that speculation is an important source of volatility and margin requirement can constrain market speculative activity effectively. This research investigates the effect of margin changes on the volatility in the Taiwan, South Korea and Japan stock market by using daily stock returns. To test the equality of the unconditional variances before and after the changes in margin requirements, the modified Levene test has been used. The expanded GARCH (1, 1) model has also been used to detect the effect of changes in margin requirements on conditional variances. The findings show that the changes in margin requirements results in an increase of stock market volatility. Since changes in margin requirements increase the stock market volatility, the implementation of using changes in margin requirements to tame market volatility seems to be suspicious. Philip Hsu 許江河 2003 學位論文 ; thesis 0 en_US |
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碩士 === 樹德科技大學 === 金融保險研究所 === 91 === Changes in margin requirement are an important and common practice for the stock markets of Taiwan, South Korea and Japan. It is expected to have a significant effect on stock market activities for the purpose of prevention of excessive stock price volatility. The assumption underlying the use of changing margin requirements as a policy tool is that speculation is an important source of volatility and margin requirement can constrain market speculative activity effectively.
This research investigates the effect of margin changes on the volatility in the Taiwan, South Korea and Japan stock market by using daily stock returns. To test the equality of the unconditional variances before and after the changes in margin requirements, the modified Levene test has been used. The expanded GARCH (1, 1) model has also been used to detect the effect of changes in margin requirements on conditional variances. The findings show that the changes in margin requirements results in an increase of stock market volatility. Since changes in margin requirements increase the stock market volatility, the implementation of using changes in margin requirements to tame market volatility seems to be suspicious.
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author2 |
Philip Hsu |
author_facet |
Philip Hsu Shu Li Huang 黃淑麗 |
author |
Shu Li Huang 黃淑麗 |
spellingShingle |
Shu Li Huang 黃淑麗 Can Change in Margin Requirement Decrease Stock Market Volatility?-The Studies of Taiwan, South Korea and Japan |
author_sort |
Shu Li Huang |
title |
Can Change in Margin Requirement Decrease Stock Market Volatility?-The Studies of Taiwan, South Korea and Japan |
title_short |
Can Change in Margin Requirement Decrease Stock Market Volatility?-The Studies of Taiwan, South Korea and Japan |
title_full |
Can Change in Margin Requirement Decrease Stock Market Volatility?-The Studies of Taiwan, South Korea and Japan |
title_fullStr |
Can Change in Margin Requirement Decrease Stock Market Volatility?-The Studies of Taiwan, South Korea and Japan |
title_full_unstemmed |
Can Change in Margin Requirement Decrease Stock Market Volatility?-The Studies of Taiwan, South Korea and Japan |
title_sort |
can change in margin requirement decrease stock market volatility?-the studies of taiwan, south korea and japan |
publishDate |
2003 |
url |
http://ndltd.ncl.edu.tw/handle/55962691422691403738 |
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