메뉴 건너뛰기




Volumn 19, Issue 4, 1999, Pages 433-455

Margin requirements and futures activity: Evidence from the soybean and corn markets

Author keywords

[No Author keywords available]

Indexed keywords


EID: 0033437943     PISSN: 02707314     EISSN: None     Source Type: Journal    
DOI: 10.1002/(SICI)1096-9934(199906)19:4<433::AID-FUT3>3.0.CO;2-A     Document Type: Article
Times cited : (18)

References (35)
  • 1
    • 84979368163 scopus 로고
    • Comments on "Margins and futures contracts."
    • Anderson, R. (1981). Comments on "Margins and futures contracts." The Journal of Futures Markets, 1, 259-264.
    • (1981) The Journal of Futures Markets , vol.1 , pp. 259-264
    • Anderson, R.1
  • 2
    • 42449156579 scopus 로고
    • Generalized autoregressive conditional heteroskedasticity
    • Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 31, 307-327.
    • (1986) Journal of Econometrics , vol.31 , pp. 307-327
    • Bollerslev, T.1
  • 3
    • 0006244774 scopus 로고
    • Has market volatility increased? Federal Reserve Bank of Kansas City
    • Becketti, S., & Sellon Jr., G. H. (1989). Has market volatility increased? Federal Reserve Bank of Kansas City, Economic Review, 74, 17-30.
    • (1989) Economic Review , vol.74 , pp. 17-30
    • Becketti, S.1    Sellon Jr., G.H.2
  • 4
    • 0008299630 scopus 로고
    • Will increased regulation of stock index futures reduce stock market volatility? Federal Reserve Bank of Kansas City
    • Becketti, S., & Roberts, D. J. (1990). Will increased regulation of stock index futures reduce stock market volatility? Federal Reserve Bank of Kansas City, Economic Review, 75, 33-46.
    • (1990) Economic Review , vol.75 , pp. 33-46
    • Becketti, S.1    Roberts, D.J.2
  • 5
    • 21144460194 scopus 로고
    • Systematic risk, hedging pressure, and risk premiums in futures markets
    • Bessembinder, H. (1992). Systematic risk, hedging pressure, and risk premiums in futures markets. Review of Financial Studies, 5, 637-668.
    • (1992) Review of Financial Studies , vol.5 , pp. 637-668
    • Bessembinder, H.1
  • 6
    • 34248483578 scopus 로고
    • The pricing of commodity contracts
    • Black, F. (1976). The pricing of commodity contracts. Journal of Financial Economics, 3, 167-679.
    • (1976) Journal of Financial Economics , vol.3 , pp. 167-679
    • Black, F.1
  • 7
    • 0000721981 scopus 로고
    • Efficient asset portfolios and the theory of normal backwardation
    • Carter, C. A., Rausser, G. C., & Schmitz A. (1983). Efficient asset portfolios and the theory of normal backwardation. Journal of Political Economy, 91, 319-331.
    • (1983) Journal of Political Economy , vol.91 , pp. 319-331
    • Carter, C.A.1    Rausser, G.C.2    Schmitz, A.3
  • 8
    • 10444257105 scopus 로고    scopus 로고
    • Futures commitments and commodity price jumps
    • forthcoming
    • Chatrath, A., & Song, F. (1998). Futures commitments and commodity price jumps. Financial Review, forthcoming.
    • (1998) Financial Review
    • Chatrath, A.1    Song, F.2
  • 9
    • 0031496193 scopus 로고    scopus 로고
    • Commitment of traders, basis behavior, and the issue of risk premia in futures markets
    • Chatrath, A., Liang, Y., & Song, F. (1997). Commitment of traders, basis behavior, and the issue of risk premia in futures markets. The Journal of Futures Markets, 17, 707-731.
    • (1997) The Journal of Futures Markets , vol.17 , pp. 707-731
    • Chatrath, A.1    Liang, Y.2    Song, F.3
  • 10
    • 0000951422 scopus 로고
    • Return to speculators and the theory of normal backwardation
    • Chang, E. C. (1985). Return to speculators and the theory of normal backwardation. Journal of Finance, 40, 193-208.
    • (1985) Journal of Finance , vol.40 , pp. 193-208
    • Chang, E.C.1
  • 11
    • 0000097877 scopus 로고
    • Transaction costs, order placement strategy, and existence of the bid-ask spread
    • Cohen, K., Maier, S., Schwartz, R., & Witcomb, D. (1981). Transaction costs, order placement strategy, and existence of the bid-ask spread. Journal of Political Economy, 89, 287-305.
    • (1981) Journal of Political Economy , vol.89 , pp. 287-305
    • Cohen, K.1    Maier, S.2    Schwartz, R.3    Witcomb, D.4
  • 13
    • 84978550090 scopus 로고
    • Extreme movements in futures prices: Implications of setting margins
    • Edwards, F. R., & Neftci, S. N. (1988). Extreme movements in futures prices: Implications of setting margins. The Journal of Futures Markets, 8, 639-656.
    • (1988) The Journal of Futures Markets , vol.8 , pp. 639-656
    • Edwards, F.R.1    Neftci, S.N.2
  • 14
    • 0000051984 scopus 로고
    • Autoregressive conditional heteroskedasticity with estimates of the variance of United Kingdom inflation
    • Engle, R. F. (1982). Autoregressive conditional heteroskedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50, 987-1007.
    • (1982) Econometrica , vol.50 , pp. 987-1007
    • Engle, R.F.1
  • 15
    • 84978547396 scopus 로고
    • Prudential margin policy in futures-style settlement system
    • Fenn, G. W., & Kupiec, P. (1993). Prudential margin policy in futures-style settlement system. The Journal of Futures Markets, 13, 389-409.
    • (1993) The Journal of Futures Markets , vol.13 , pp. 389-409
    • Fenn, G.W.1    Kupiec, P.2
  • 16
    • 84979434652 scopus 로고
    • Margins and market integrity: Margin setting for stock index futures and options
    • Figlewski, S. (1984). Margins and market integrity: Margin setting for stock index futures and options. The Journal of Futures Markets, 6, 385-416.
    • (1984) The Journal of Futures Markets , vol.6 , pp. 385-416
    • Figlewski, S.1
  • 17
    • 84979390126 scopus 로고
    • The effects of margins on trading in futures markets
    • Fishe, R. P. H., & Goldberg, L. G. (1986). The effects of margins on trading in futures markets. The Journal of Futures Markets, 6, 261-271.
    • (1986) The Journal of Futures Markets , vol.6 , pp. 261-271
    • Fishe, R.P.H.1    Goldberg, L.G.2
  • 18
    • 84978572860 scopus 로고
    • Margin requirements in futures markets: Their relationship to price volatility
    • Fishe, R. P. H., Goldberg, L. G., Cosnell, T. F., & Sinha, J. (1990). Margin requirements in futures markets: Their relationship to price volatility. The Journal of Futures Markets, 10, 541-554.
    • (1990) The Journal of Futures Markets , vol.10 , pp. 541-554
    • Fishe, R.P.H.1    Goldberg, L.G.2    Cosnell, T.F.3    Sinha, J.4
  • 20
    • 0007335284 scopus 로고
    • Margins and the safety of clearing houses
    • Gemmill, G. (1994). Margins and the safety of clearing houses. Journal of Ranking and Finance, 18, 979-997.
    • (1994) Journal of Ranking and Finance , vol.18 , pp. 979-997
    • Gemmill, G.1
  • 22
    • 0000211321 scopus 로고
    • Margin requirements, volatility, and the transitory component of stock prices
    • Hardouvelis, G. A. (1990). Margin requirements, volatility, and the transitory component of stock prices. American Economic Review, 80, 736-762.
    • (1990) American Economic Review , vol.80 , pp. 736-762
    • Hardouvelis, G.A.1
  • 23
    • 21844497950 scopus 로고
    • Margin requirements, price fluctuations, and market participation in metal futures
    • Hardouvelis, G. A., & Kim, D. (1995). Margin requirements, price fluctuations, and market participation in metal futures. Journal of Money, Credit, and Banking, 27, 659-671.
    • (1995) Journal of Money, Credit, and Banking , vol.27 , pp. 659-671
    • Hardouvelis, G.A.1    Kim, D.2
  • 24
    • 0003279885 scopus 로고
    • The effects of changing margin levels on futures market activity, the composition of traders in the market, and price performance
    • Hartzmark, M. L. (1986). The effects of changing margin levels on futures market activity, the composition of traders in the market, and price performance. Journal of Business, 59, S147-S180.
    • (1986) Journal of Business , vol.59
    • Hartzmark, M.L.1
  • 25
    • 0000250716 scopus 로고
    • Specification tests in econometrics
    • Hausman J. A. (1978). Specification tests in econometrics. Econometrica, 46, 1251-1271.
    • (1978) Econometrica , vol.46 , pp. 1251-1271
    • Hausman, J.A.1
  • 28
    • 84977729844 scopus 로고
    • Margin requirements and stock market volatility
    • Hsieh, D. A., & Miller, M. H. (1990). Margin requirements and stock market volatility. Journal of Finance, 45, 3-29.
    • (1990) Journal of Finance , vol.45 , pp. 3-29
    • Hsieh, D.A.1    Miller, M.H.2
  • 31
    • 0007200605 scopus 로고
    • Determining margins for futures contracts: The role of private interests and the relevance of excess volatility
    • Moser, J. T. (1991). Determining margins for futures contracts: The role of private interests and the relevance of excess volatility. Federal Reserve Bank of Chicago, Economic Perspectives, 3-18.
    • (1991) Federal Reserve Bank of Chicago, Economic Perspectives , pp. 3-18
    • Moser, J.T.1
  • 33
    • 0007202104 scopus 로고
    • Short-term speculators and the origins of near random-walk exchange rate behavior
    • Osier, C. L. (1995). Short-term speculators and the origins of near random-walk exchange rate behavior. Federal Reserve Bank of New York Staff Reports, 3, 1-66.
    • (1995) Federal Reserve Bank of New York Staff Reports , vol.3 , pp. 1-66
    • Osier, C.L.1
  • 34
    • 0002677397 scopus 로고
    • Proof that properly anticipated prices fluctuate randomly
    • Samuelson, P. A. (1965). Proof that properly anticipated prices fluctuate randomly. Industrial Management Review, 6, 41-63.
    • (1965) Industrial Management Review , vol.6 , pp. 41-63
    • Samuelson, P.A.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.