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Margin requirements and volatility : evidence from Canadian stocks

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dc.contributor.author Lee, Kwan Yiu en_US
dc.date.accessioned 2010-03-09T20:23:02Z
dc.date.available 2010-03-09T20:23:02Z
dc.date.issued 2010-03-09T20:23:02Z
dc.identifier.uri http://hdl.handle.net/10464/2947
dc.description.abstract Margin policy is used by regulators for the purpose of inhibiting exceSSIve volatility and stabilizing the stock market in the long run. The effect of this policy on the stock market is widely tested empirically. However, most prior studies are limited in the sense that they investigate the margin requirement for the overall stock market rather than for individual stocks, and the time periods examined are confined to the pre-1974 period as no change in the margin requirement occurred post-1974 in the U.S. This thesis intends to address the above limitations by providing a direct examination of the effect of margin requirement on return, volume, and volatility of individual companies and by using more recent data in the Canadian stock market. Using the methodologies of variance ratio test and event study with conditional volatility (EGARCH) model, we find no convincing evidence that change in margin requirement affects subsequent stock return volatility. We also find similar results for returns and trading volume. These empirical findings lead us to conclude that the use of margin policy by regulators fails to achieve the goal of inhibiting speculating activities and stabilizing volatility. en_US
dc.language.iso eng en_US
dc.publisher St. Catharines, Ont. : Brock University, Dept. of Management, 2010. en_US
dc.subject Margins (Security trading)--Canada. en_US
dc.subject Stocks--Canada. en_US
dc.title Margin requirements and volatility : evidence from Canadian stocks en_US
dc.type Electronic Thesis or Dissertation en_US
dc.degree.name M.Sc. Management en_US
dc.degree.level Masters en_US
dc.contributor.department Faculty of Business Programs en_US
dc.degree.discipline Faculty of Business en_US


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