Initial Margin Requirements, Volatility, and the Individual Investor: Insights from Japan

Posted: 25 Nov 2002

See all articles by Kenneth Kim

Kenneth Kim

Tongji University - School of Economics and Management; SUNY at Buffalo - School of Management

Henry R. Oppenheimer

University of Rhode Island - Area of Finance and Insurance

Abstract

Initial margin requirements represent: (1) a cost impediment to the wealth constrained investor and (2) a potential way of mitigating excessive volatility. However, prior empirical research finds that margins are not an effective tool in reducing volatility. We consider the possibility that margins primarily affect certain stocks and investors. Specifically, we test whether margins affect individuals who, as a group, we believe to be the investors most affected when margin requirements change. Our initial empirical tests, however, do not support this contention.

Suggested Citation

Kim, Kenneth A. and Oppenheimer, Henry R., Initial Margin Requirements, Volatility, and the Individual Investor: Insights from Japan. Available at SSRN: https://ssrn.com/abstract=311272

Kenneth A. Kim (Contact Author)

Tongji University - School of Economics and Management ( email )

Siping Road 1500
Shanghai, Shanghai 200092
China

SUNY at Buffalo - School of Management ( email )

Jacobs Management Center
Buffalo, NY 14222
United States

Henry R. Oppenheimer

University of Rhode Island - Area of Finance and Insurance ( email )

Callentine Hall
7 Lippitt Road
Kingston, RI 02881-0802
United States

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