The Irrelevance of Margin: Evidence from the Crash of '87
对比1987年崩盘期间可保证金交易与不可交易的纳斯达克股票，发现前者交易量更大但价格跌幅反而小1%，说明保证金交易未加剧股价下跌。
ABSTRACT Following the crash of 1987, one contentious regulatory issue has been whether margin activity exacerbated the decline in equity values. We contrast the crash behavior of NASDAQ securities eligible for margin trading with the behavior of ineligible ones. Consistent with the hypothesis that margin‐eligible securities were more frequently subjected to margin calls and forced sales, we find that abnormal volumes were uniformly larger for eligible securities. However, there is no evidence that this activity provoked additional price depreciation. Margin‐eligible securities actually fell by one percent less than the ineligible securities over the period.