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The Effects of Margin Changes on the Composition of Traders and Market Liquidity: Evidence from the Taiwan Futures Exchange

  • Published:2015-03-18 Issue:10 Volume:35 Page:894-915
  • ISSN:0270-7314
  • Container-title:Journal of Futures Markets
  • language:en
  • Short-container-title:

Author:

Chou Robin K.1,Wang George H. K.2,Wang Yun-Yi3

Affiliation:

1. Robin K. Cho is Professor of Finance and Risk and Insurance Research Center; College of Commerce; National Chengchi University; Taipei Taiwan

2. George H. K. Wang is Research Professor of Finance; School of Management; George Mason University; Fairfax Virginia

3. Yun-Yi Wang is Associate Professor of Finance; Feng Chia University; Taichung Taiwan

Publisher

Wiley

Subject

Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting

Reference37 articles.

1. Margin requirements and futures activity: Evidence from the soybean and corn markets;Adrangi;Journal of Futures Markets,1999

2. Illiquidity and stock returns: Cross-section and time-series effects;Amihud;Journal of Financial Markets,2002

3. Comments on “Margins and Futures Contract;Anderson;Journal of Futures Markets,1981

4. The distribution of realized stock return volatility;Andersen;Journal of Financial Economics,2001

5. Just how much do individual investors lose by trading;Barber;Review of Financial Studies,2009

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