Margin requirements across equity-related instruments: how level is the playing field?
Author
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Paul H. Kupiec, 1994.
"The performance of S&P 500 futures product margins under the SPAN margining system,"
Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 14(7), pages 789-811, October.
- Paul H. Kupiec, 1993. "The performance of S&P500 futures product margins under the span margining system," Finance and Economics Discussion Series 93-27, Board of Governors of the Federal Reserve System (U.S.).
- Cathy E. Minehan & Katerina Simons, 1995. "Managing risk in the 90's: what should you be asking about derivatives?," New England Economic Review, Federal Reserve Bank of Boston, issue Sep, pages 3-25.
- George Sofianos, 1988. "Margin requirements on equity instruments," Quarterly Review, Federal Reserve Bank of New York, vol. 13(Sum), pages 47-60.
- Gerald D. Gay & William C. Hunter & Robert W. Kolb, 1986. "A comparative analysis of futures contract margins," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 6(2), pages 307-324, June.
- Stephen Figlewski, 1984. "Margins and market integrity: Margin setting for stock index futures and options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 4(3), pages 385-416, September.
- Arturo Estrella, 1988. "Consistent margin requirements: are they feasible?," Quarterly Review, Federal Reserve Bank of New York, vol. 13(Sum), pages 61-79.
- Peter Fortune, 1999. "Are stock returns different over weekends? a jump diffusion analysis of the \"weekend effect\"," New England Economic Review, Federal Reserve Bank of Boston, issue Sep, pages 3-19.
- Franklin R. Edwards, 1983. "The clearing association in futures markets: Guarantor and regulator," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 3(4), pages 369-392, December.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- D. Matsypura & V.G. Timkovsky, 2013. "Integer programs for margining option portfolios by option spreads with more than four legs," Computational Management Science, Springer, vol. 10(1), pages 51-76, February.
- Paul Willen & Felix Kubler, 2006.
"Collateralized Borrowing and Life-Cycle Portfolio Choice,"
NBER Working Papers
12309, National Bureau of Economic Research, Inc.
- Paul Willen & Felix Kubler, 2006. "Collateralized Borrowing And Life-Cycle Portfolio Choice," 2006 Meeting Papers 578, Society for Economic Dynamics.
- Felix Kubler & Paul S. Willen, 2006. "Collateralized borrowing and life-cycle portfolio choice," Public Policy Discussion Paper 06-4, Federal Reserve Bank of Boston.
- Sai Srikar Nimmagadda & Pawan Sasanka Ammanamanchi, 2019. "BitMEX Funding Correlation with Bitcoin Exchange Rate," Papers 1912.03270, arXiv.org.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- David Bates & Roger Craine, 1998. "Valuing the Futures Market Clearinghouse's Default Exposure During the 1987 Crash," NBER Working Papers 6505, National Bureau of Economic Research, Inc.
- Ackert, Lucy F. & Hunter, William C., 1994.
"Rational price limits in futures markets: tests of a simple optimizing model,"
Review of Financial Economics, Elsevier, vol. 4(1), pages 93-108.
- Lucy F. Ackert & William C. Hunter, 1994. "Rational price limits in futures markets: tests of a simple optimizing model," Review of Financial Economics, John Wiley & Sons, vol. 4(1), pages 93-108, September.
- Alexander, Carol & Kaeck, Andreas & Sumawong, Anannit, 2019. "A parsimonious parametric model for generating margin requirements for futures," European Journal of Operational Research, Elsevier, vol. 273(1), pages 31-43.
- Robert A. Jones & Christophe Pérignon, 2013.
"Derivatives Clearing, Default Risk, and Insurance,"
Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 80(2), pages 373-400, June.
- Christophe Pérignon & Robert A. Jones, 2013. "Derivatives Clearing, Default Risk, and Insurance," Post-Print hal-00829059, HAL.
- Shi, Wei & Irwin, Scott H., 2006. "What Happens when Peter can't Pay Paul: Risk Management at Futures Exchange Clearinghouses," 2006 Annual meeting, July 23-26, Long Beach, CA 21087, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
- Paul Kupiec, 1998.
"Margin Requirements, Volatility, and Market Integrity: What Have We Learned Since the Crash?,"
Journal of Financial Services Research, Springer;Western Finance Association, vol. 13(3), pages 231-255, June.
- Paul H. Kupiec, 1997. "Margin requirements, volatility, and market integrity: what have we learned since the crash?," Finance and Economics Discussion Series 1997-22, Board of Governors of the Federal Reserve System (U.S.).
- Paul H. Kupiec, 1997. "Margin Requirements, Volatility, and Market Integrity: What Have We Learned Since The Crash?," FMG Special Papers sp97, Financial Markets Group.
- Capponi, Agostino & Cheng, Wan-Schwin Allen & Giglio, Stefano & Haynes, Richard, 2022. "The collateral rule: Evidence from the credit default swap market," Journal of Monetary Economics, Elsevier, vol. 126(C), pages 58-86.
- Daskalaki, Charoula & Skiadopoulos, George, 2016.
"The effects of margin changes on commodity futures markets,"
Journal of Financial Stability, Elsevier, vol. 22(C), pages 129-152.
- Charoula Daskalaki & George Skiadopoulos, 2014. "The Effects of Margin Changes on Commodity Futures Markets," Working Papers 736, Queen Mary University of London, School of Economics and Finance.
- Ito, Takatoshi & Lin, Wen-Ling, 2001. "Race to the center: competition for the Nikkei 225 futures trade," Journal of Empirical Finance, Elsevier, vol. 8(3), pages 219-242, July.
- Broussard, John Paul & Booth, G. Geoffrey, 1998. "The behavior of extreme values in Germany's stock index futures: An application to intradaily margin setting," European Journal of Operational Research, Elsevier, vol. 104(3), pages 393-402, February.
- Selma Chaker & Nour Meddahi, 2013. "CoMargin," Staff Working Papers 13-47, Bank of Canada.
- Chen-Yu Chen & Jian-Hsin Chou & Hung-Gay Fung & Yiuman Tse, 2017. "Setting the futures margin with price limits: the case for single-stock futures," Review of Quantitative Finance and Accounting, Springer, vol. 48(1), pages 219-237, January.
- Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
- Emm, Ekaterina E. & Gay, Gerald D. & Shen, Mo, 2020. "Futures commission merchants, customer funds and capital requirements: An organizational analysis of the futures industry," Journal of Commodity Markets, Elsevier, vol. 18(C).
- Guo, Ruqiang & Liu, Linjie & Liu, Yuyuan & Zhang, Liang, 2024. "Evolution of trust in the N-player trust game with the margin system," Applied Mathematics and Computation, Elsevier, vol. 473(C).
- Guglielmo Maria Caporale & Luis A. Gil-Alana & Alex Plastun & Inna Makarenko, 2014.
"The Weekend Effect: A Trading Robot and Fractional Integration Analysis,"
CESifo Working Paper Series
4849, CESifo.
- Guglielmo Maria Caporale & Luis Gil-Alana & Alex Plastun & Inna Makarenko, 2014. "The Weekend Effect: A Trading Robot and Fractional Integration Analysis," Discussion Papers of DIW Berlin 1386, DIW Berlin, German Institute for Economic Research.
- Guglielmo Maria Caporale & Alex Plastun, 2016.
"Calendar Anomalies in the Ukrainian Stock Market,"
Discussion Papers of DIW Berlin
1573, DIW Berlin, German Institute for Economic Research.
- Guglielmo Maria Caporale & Alex Plastun, 2016. "Calendar Anomalies in the Ukrainian Stock Market," CESifo Working Paper Series 5877, CESifo.
- Plastun, Alex & Sibande, Xolani & Gupta, Rangan & Wohar, Mark E., 2020.
"Price gap anomaly in the US stock market: The whole story,"
The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
- Alex Plastun & Xolani Sibande & Rangan Gupta & Mark E. Wohar, 2019. "Price Gap Anomaly in the US Stock Market: The Whole Story," Working Papers 201963, University of Pretoria, Department of Economics.
- Guglielmo Maria Caporale & Luis Alberiko Gil-Alana & Alex Plastun, 2016.
"The weekend effect: an exploitable anomaly in the Ukrainian stock market?,"
Journal of Economic Studies, Emerald Group Publishing Limited, vol. 43(6), pages 954-965, November.
- Guglielmo Maria Caporale & Luis Gil-Alana & Alex Plastun, 2015. "The Weekend Effect: An Exploitable Anomaly in the Ukrainian Stock Market?," Discussion Papers of DIW Berlin 1458, DIW Berlin, German Institute for Economic Research.
- Jan Trzaskowski, 2022. "Data-driven value extraction and human well-being under EU law," Electronic Markets, Springer;IIM University of St. Gallen, vol. 32(2), pages 447-458, June.
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:fip:fedbne:y:2003:p:31-50. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Spozio (email available below). General contact details of provider: https://edirc.repec.org/data/frbbous.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.