Price limits, margin requirements, and default risk

NCUIR > School of Management at National Central University > Graduate Institute of Finance > journal & Dissertation > Item 987654321/31339

Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/31339

Title:	Price limits, margin requirements, and default risk
Authors:	Chou,PH;Lin,MC;Yu,MT
Contributors:	財務金融研究所
Keywords:	TREASURY BOND FUTURES;CIRCUIT-BREAKERS;STOCK-EXCHANGE;VOLATILITY;MARKETS;RESOLUTION
Date:	2000
Issue Date:	2010-07-06 17:42:39 (UTC+8)
Publisher:	中央大學
Abstract:	This article investigates whether price limits can reduce the default risk and lower the effective margin requirement for a self-enforcing futures contract by considering one more period beyond Brennan's (1986) model to take into account the spillover of
Relation:	JOURNAL OF FUTURES MARKETS
Appears in Collections:	[Graduate Institute of Finance] journal & Dissertation

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