100% Margins Revisited

Eckardt, Walter L.; Rogoff, Donald L.

doi:10.1111/j.1540-6261.1976.tb01947.x

Cited by 16 publications

(4 citation statements)

References 8 publications

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“…In general, these studies find little or no effect. See, for example, Grube, Joy, and Panton (1979), Moore (1966), Douglas (1969), Eckards and Rogoff (1976), Largay (1973), and Largay and West (1973).…”

Section: Discussionmentioning

confidence: 99%

Studies of the 1987 stock market crash: Review and appraisal

Edwards¹

1988

J Finan Serv Res

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Within four months of the stock market crash on October 19, 1987, there were six studies of what happened. The Brady Commission, the Commodity Futures Trading Commission, the Securities and Exchange Commission, the General Accounting Office, the New York Stock Exchange, and the Chicago Mercantile Exchange all produced reports that described and analyzed the Crash, and in some cases made recommendations for additional regulation. This paper examines the conclusions and analyses contained in these reports and provides a summary of their recommendations. Particular attention is given to the allegation that stock index futures trading was a significant factor in the Crash. In addition, the recommendations that higher margins be imposed on futures transactions and that formal trading halts be instituted in both the futures and stock markets are discussed in depth. A major conclusion of this review is that new market-making procedures are needed to cope with the growing institutionalization of trading in equity and equity-derivative markets.

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Section: Discussionmentioning

confidence: 99%

Studies of the 1987 stock market crash: Review and appraisal

Edwards¹

1988

J Finan Serv Res

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“…For stocks, the margin account is composed purely of the investor's equity/debt levels, both the initial and maintenance margins are set as gearing ratios denominated in percentages. Historically, stock margin levels have fluctuated wildly on a year-to-year basis; changing to/from 50 -100% at times, see Largay and West (1973) and Eckardt and Rogoff (1976) for example. Such extreme movements are not possible for futures margins, since these are obligatory.…”

Section: Literature Reviewmentioning

confidence: 99%

A parsimonious parametric model for generating margin requirements for futures

Alexander

Kaeck

Sumawong

2019

European Journal of Operational Research

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“…Largay (1973) and Eckardt and Rogoff (1976) report the imposition of 100% margin restrictions on some stocks was associated with the termination of the upward price movement, a reduction in trading volume and a decline in volatility. Seguin (1990) finds that margin eligibility of Over-…”

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confidence: 99%

Margin requirements and portfolio optimization: A geometric approach

Guo

2014

J Asset Manag

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Using geometric illustrations, we investigate what implications of portfolio optimization in equilibrium can be generated by the simple mean-variance framework, under margin borrowing restrictions. First, we investigate the case of uniform marginability on all risky assets.It is shown that changing from unlimited borrowing to margin borrowing shifts the market portfolio to a riskier combination, accompanied by a higher risk premium and a lower price of risk. With the linear risk-return preference, more stringent margin requirements lead to a riskier market portfolio, contrary to the conventional belief. Second, we investigate the effects of differential marginability on portfolio optimization by allowing only one of the risky assets to be pledged as collateral. It is shown that the resulting optimal portfolio is not always tilted towards holding more of the marginable asset, when the margin requirement is loosened.

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100% Margins Revisited

Cited by 16 publications

References 8 publications

Studies of the 1987 stock market crash: Review and appraisal

Studies of the 1987 stock market crash: Review and appraisal

A parsimonious parametric model for generating margin requirements for futures

Margin requirements and portfolio optimization: A geometric approach

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