Margin Requirements, Speculative Trading, and Stock Price Fluctuations: The Case of Japan
研究东京证券交易所主板提高保证金要求后，保证金借贷、交易量、股价增长和日收益率波动性均下降，而二板市场反应较弱，表明保证金要求可能限制投机行为，但个人投资者作为主要保证金使用者却表现出良好的市场择时能力。
An increase in margin requirements in the First Section of the Tokyo Stock Exchange is followed by a decline in margin borrowing, trading volume, the proportion of trading performed through margin accounts, the growth in stock prices, and the conditional volatility of daily returns. The nonmarginable Second Section stocks show a smaller change in volatility and only a delayed weak price response. The hypothesis that margin requirements restrict the behavior of destabilizing speculators can explain these correlations but cannot explain the observation that individuals, the most active users of margin funds, appear to be good market timers.