Prudent margin levels in the Finnish stock index futures market

Management Science

Volumn 43, Issue 8, 1997, Pages 1177-1188

  Booth, G Geoffrey ^a   Broussard, John Paul ^a   Martikainen, Teppo ^a   Puttonen, Vesa ^a  

^a NONE

Author keywords

Extreme Value Statistics; Margin Setting; Stock Index Futures

Indexed keywords

COSTS; DECISION MAKING; PROBABILITY; STATISTICAL METHODS;

MARGIN LEVELS; STOCK INDEX FUTURES MARKET;

MARKETING;

EID: 0031197671     PISSN: 00251909     EISSN: None     Source Type: Journal    
DOI: 10.1287/mnsc.43.8.1177     Document Type: Article

References (37)

1. Baer, H. L., V. G. France, and J. T. Moser, "Opportunity Cost and Prudentiality: An Analysis of Futures Clearinghouse Behavior," Policy Research Working Paper 1340, The World Bank Policy Research Department, World Bank, New York, 1994.
2. Berman, S. M., "Limiting Theorems for the Maximum Term in Stationary Sequences," Ann. Math. Statistics, 35 (1963), 502-516.
3. Booth, G. G., T. Martikainen, S. Sarkar, I. Virtanen, and P. Yli-Olli, "Nonlinear Dependence of Finnish Stock Returns," European J. Oper. Res., 74 (1994), 273-283.
4. Bortkiewicz, L. von, "Variationsbreite und mittlerer Fehler," Sitzungsberichte den Berliner Mathematik Gesellschaft, 21 (1992), 3-11.
5. de Haan, L., I. S. Resnick, H. Rootzèn, and C. G. de Vries, "Extremal Behavior of Solutions to a Stochastic Difference Equation with Applications to ARCH Process," Stochastic Processes and Their Applications, 32 (1989), 213-224.
6. Duffie, D., Futures Markets, Prentice-Hall, Englewood Cliffs, NJ, 1989.
7. Edwards, F. R. and S. N. Neftci, "Extreme Price Movements and Margin Levels in Futures Markets," J. Futures Markets, 8 (1988), 639-655.
8. Figlewski, S., "Margins and Market Integrity: Margin Setting for the Stock Index Futures and Options," J. Futures Markets, 4 (1984), 385-416.
9. Fisher, R. A. and L. H. C. Tippett, "Limiting Forms of the Frequency Distribution of the Largest and Smallest Member of a Sample," Proc. Cambridge Philosophy Society, 24 (1928), 180-190.
10. Fréchet, M., "Sur la loi de probabilité de l'écart maximim," Annals de la Société Polonaise de Mathematiques, 6 (1927), 93-116.
11. Gay, G. D., W. C. Hunter, and R. W. Kolb, "A Comparative Analysis of Futures Contract Margins," J. Futures Markets, 6 (1986), 307-324.
12. Gemmill, G., "Margins and the Safety of Clearing Houses," J. Banking and Finance, 18 (1994), 979-996.
13. Gnedenko, B. V., "Sur la distribution limite du terme maximum d'une série aléatoire," Ann. Math., 44 (1943), 423-453.
14. Gumbel, E. J., Statistics of Extremes, Columbia University Press, New York, 1958.
15. Hardouvelis, G., A. Pericli, and P. Theodossiou, "Margin Requirements and Stock Market Volatility Revisited," Working Paper, Rutgers University, New Brunswick, NJ, 1995.
16. Hill, B. M., "A Simple General Approach to Inference About the Tail of a Distribution," Ann. Statistics, 3 (1975), 1163-1173.
17. Hunter, W. C., "Rational Margins on Futures Contracts: Initial Margins," Rev. Res. in Futures Markets, 5 (1986), 160-173.
18. Jansen, D. W. and C. G. de Vries, "On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspectives," Rev. Economics and Statistics, 73 (1991), 18-24.
19. Jenkinson, A. F., "The Frequency Distribution of the Annual Maximum (or Minimum) Values of Meteorological Elements," Quarterly J. Royal Meteorology Society, 7 (1955), 145-158.
20. Kinnison, R. R., Applied Extreme Value Statistics, Battelle Press, Columbus, OH, 1985.
21. Koedijk, K. G., P. A. Stork, and C. G. de Vries, "Differences Between Foreign Exchange Regimes: The View from the Tails," J. International Money and Finance, 11 (1992), 462-473.
22. Kofman, P., "Optimizing Futures Margins with Distribution Tails," Advances in Futures and Options Res., 6 (1993), 263-278.
23. _ and C. G. de Vries, "Potato Futures Returns: A Tail Investigation," Rev. Futures, 8 (1989), 244-258.
24. Leadbetter, M. R., G. Lindgren, and H. Rootzèn, Extremes and Related Properties of Random Sequences and Processes, Springer Verlag, New York, 1983.
25. Longin, F. M., "The Asymptotic Distribution of Extreme Stock Market Returns," J. Business, 69 (1996), 383-408.
26. _, "Optimal Margin Level in Futures Markets: A Parametric Extreme-Based Method," Proc. Ninth Chicago Board of Trade Conf. on Futures and Options, Bonn, Germany, 1995.
27. Maritz, J. S. and A. H. Munro, "On the Use of the Generalized Extreme-Value Distribution in Estimating Extreme Percentiles," Biometrics, 23 (1967), 79-103.
28. Martikainen, T., J. Perttunen, and V. Puttonen, "On the Dynamics of Stock Index Futures and Individual Stock Returns," J. Business Finance and Accounting, 22 (1995), 87-100.
29. Pickands, J., "Statistical Inference Using Extreme Order Statistics," Ann. Statistics, 3 (1975), 119-131.
30. Puttonen, V., "Short Sale Restrictions and the Temporal Relationship Between Stock Index Cash and Derivatives Markets," J. Futures Markets, 13 (1993), 645-664.
31. _, "International Transmission of Volatility Between Stock and Stock Index Futures Markets," J. International Financial Markets, Institutions & Money, 5 (1995), 97-115.
32. _ and T. Martikainen, "Short Sale Restrictions: Implications for Stock Index Arbitrage," Economics Letters, 37 (1991), 159-163.
33. Rutz, R. D., "Clearance, Payment, and Settlement Systems in the Futures, Options and Stock Markets," Rev. Futures Markets, 7 (1988), 346-370.
34. Telser, L. G., "Margins and Futures Contracts," J. Futures Markets, 1 (1981a), 225-253.
35. _, "Why There Are Organized Futures Markets," J. Law and Economics, (1981b), 1-22.
36. Virolainen, K., "Recent Developments in the Finnish Financial Derivatives Markets," Bank of Finland Bulletin, 3 (1995), 8-12.
37. Warsharsky, M. J., "The Adequacy and Consistency of Margin Requirements: The Cash, Futures, and Options Segments of the Equity Markets," Rev. Futures Markets, 8 (1989), 420-437.