Series: IMF Working Papers
Author(s): Takatoshi Ito , and Wen-Ling Lin
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 01 October 1996
Keywords: margin requirements, futures price volatility, trading volume, GARCH, futures market, futures markets, dummy variable, probability, standard errors
This paper examines the impact of changes in margin requirements on returns, transaction volumes, and price volatility of Nikkei 225 futures on the Osaka Securities Exchange (OSE) and the Singapore International Mo...