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    政大機構典藏 > 商學院 > 財務管理學系 > 期刊論文 >  Item 140.119/79346


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    题名: The Effects of Margin Changes on the Composition of Traders and Market Liquidity: Evidence from the Taiwan Futures Exchange
    作者: Chou, Robin K.
    周冠男
    贡献者: 財務管理學系
    日期: 2015-10
    上传时间: 2015-11-05 18:28:14 (UTC+8)
    摘要: We examine the effects of margin changes on futures trading activity, the composition of traders, and market liquidity using an account-level data set from the Taiwan Futures Exchange. We find that margin increases reduce trading activity for all trader types, which indicates that higher margins increase trading costs. Institutional trading is more sensitive to changes in margin requirements than individual traders. This, in turn, leads to increases in market price volatility and decreases in market liquidity. These results imply that margin requirements are not an effective policy tool for limiting the trading activity of noise speculators to reduce market volatility. © 2015 Wiley Periodicals, Inc. Jrl Fut Mark 35:894–915, 2015
    關聯: Journal of Futures Markets,35(10),894-915
    数据类型: article
    DOI 連結: http://dx.doi.org/10.1002/fut.21718
    DOI: 10.1002/fut.21718
    显示于类别:[財務管理學系] 期刊論文

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