Margin Changes and Futures Trading Activity
Author | : Antonis A. Aristidou |
Publisher | : |
Total Pages | : 46 |
Release | : 2008 |
ISBN-10 | : OCLC:1290308722 |
ISBN-13 | : |
Rating | : 4/5 ( Downloads) |
Download or read book Margin Changes and Futures Trading Activity written by Antonis A. Aristidou and published by . This book was released on 2008 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper examines the impact of margins, adjusted for underlying price risk proxied by market volatility, on trading volume and at the same time incorporates the relationship between trading volume and price volatility documented in equities and futures markets. The study estimates bivariate GARCH-M models to take account of the inter-relationships and applies them to the Greek derivatives market over the period 1999-2005. The results show that when adjusting margins for market risk there is no impact on trading volume, casting doubts on the results of previous research, and providing support for the view that margin requirements are used only as a mechanism to prevent trader default.