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Leverage and Market Stability: The Role of Margin Rules and Price Limits
8 references·16 citing·49 second hop
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this work references cited by second hop

References

  • 1983Bank Runs, Deposit Insurance, and Liquidity9,689 cited
  • 1990Noise Trader Risk in Financial Markets6,259 cited
  • 1997Credit Cycles5,254 cited
  • 1989Trade and the Revelation of Information through Prices and Direct Disclosure422 cited
  • 1986A theory of price limits in futures markets211 cited
  • 1990Margin Regulation and Stock Market Volatility209 cited
  • 1971Toward a Fully Automated Stock Exchange, Part I193 cited
  • 1991Transactional Risk, Market Crashes, and the Role of Circuit Breakers157 cited

Cited by

  • 2002The Asymmetric Relation Between Initial Margin Requirements and Stock Market Volatility Across Bull and Bear Markets109 cited
  • 2004What Makes Circuit Breakers Attractive to Financial Markets? A Survey86 cited
  • 2012Market Liquidity and Funding Liquidity*80 cited
  • 2003Feedback and the Success of Irrational Investors79 cited
  • 2020Renting Balance Sheet Space: Intermediary Balance Sheet Rental Costs and the Valuation of Derivatives75 cited
  • 2010Examining the effectiveness of price limits in an artificial stock market70 cited
  • 2005The Effectiveness of Price Limits and Stock Characteristics: Evidence from the Shanghai and Shenzhen Stock Exchanges

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66 cited
  • 2013Asset Pricing with Dynamic Margin Constraints57 cited
  • 2013Liquidating illiquid collateral54 cited
  • 2012Market Liquidity: Asset Pricing, Risk, and Crises51 cited
  • 2007Time-varying volatility and equity returns in Bangladesh stock market46 cited
  • 1999The Egyptian Stock Market34 cited
  • 2024Leverage Is a Double‐Edged Sword27 cited
  • 2004Price limits on a call auction market: Evidence from the Warsaw Stock Exchange27 cited
  • 2018Circuit breakers as market stability levers: A survey of research, praxis, and challenges27 cited
  • 2021Investor Sentiment and Stock Price Crash Risk: Evidence from China24 cited