THE EFFECTS OF CHANGING MARGIN LEVELS ON FUTURES MARKET ACTIVITY, THE COMPOSITION OF TRADERS IN THE MARKET, AND PRICE PERFORMANCE

被引：37

作者：

HARTZMARK, ML

机构：

来源：

关键词：

D O I：

10.1086/296343

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

引用

页码：S147 / S180

页数：34

共 18 条

[1]

ANDERSON R, 1981, J FUTURES MARKETS, V1, P259, DOI 10.1002/fut.3990010215

[2] CROSS HEDGING [J].

ANDERSON, RW ;

DANTHINE, JP .

[3] PRICING OF COMMODITY CONTRACTS [J].

BLACK, F .

[4]

BRINKMAN W, 1981, RES SPECULATION SEMI

[5]

Conover WJ, 1980, PRACTICAL NONPARAMET, V2

DUSAK, K .

[7]

*FED RES BANK, 1984, REV EV FED MARG REG

FIGLEWSKI, S .

[9] ESTIMATION OF SECURITY PRICE VOLATILITIES FROM HISTORICAL DATA [J].

GARMAN, MB ;

KLASS, MJ .

[10]

HARTZMARK ML, 1984, THESIS U CHICAGO