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    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/6112


    Title: Margin requirements and stock market volatility: Another look at the case of Taiwan
    Authors: 徐燕山
    Hsu, Yen-Shan
    Keywords: Margin requirements;Volatility
    Date: 1996-12
    Issue Date: 2008-11-05 16:58:26 (UTC+8)
    Abstract: This paper examines the effects of margin requirements on the stock market volatility of
    the Category A stock price index and Category B stock price index in the Taiwan Stock
    Market. Although we find significant short-term relationships between margin changes and
    volatility in a few cases, the empirical evidence presented in this paper is somewhat mixed.
    However, some weak evidence indicates that margin changes Granger-cause volatility for
    Category B stocks. The more speculative stocks are affected more by margin requirements.
    Relation: Pacific-Basin Finance Journal, 4(4), 409-419
    Data Type: article
    DOI 連結: http://dx.doi.org/10.1016/S0927-538X(96)00006-6
    DOI: 10.1016/S0927-538X(96)00006-6
    Appears in Collections:[財務管理學系] 期刊論文

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