Margin Requirements and Stock Market Volatility in Bangladesh


  • Department of Economics, School of Business, Independent University, Banglade Sh( IUB), Dhaka
  • Department of Economics, School of Business, Independent University, Banglade Sh (IUB), Dhaka
  • Development & Information Department, Dhaka Stock Exchange Limited, Dhaka



Margin, Requirements, Volatility, Stock Market.


Officially margin requirements in bourses in Bangladesh were initiated on April 28, 1999, to limit the amount of credit available for the purpose of buying stocks. The goal of this paper is to measure the impact of changing margin requirement on stock returns' volatility in Dhaka Stock Exchange (DSE). The impact of margin requirement on stock price volatility has been extensively studied with mixed and ambiguous results. Using daily stock returns, we found mixed evidence that SEC's margin requirements have significant impact on market volatility in DSE.


Download data is not yet available.


Metrics Loading ...


Brockhaus, R. H. (1980). Risk taking Propensity of Entrepreneurs, Academy of Management Journal, 23(3), 509-520

Brown, M.B. and A.B. Forsythe, 1974, "Robust tests for the equality of variances,” Journal of the American Statistical Association, 69, 364-367 Bucciol, A. and Miniaci, R. (2012). Household Portfolios And Risk Bearing Over Age And Time. University of Verona:

Busche, K. and Hall, C. D. (1988). An Exception to the Risk Preference Anomaly. The Journal of Business 61 (3), 337-346

Chowdhury, A. R (1997). Margin Requirements and Stock Market Volatility in Thailand. Applied Economics Letters 4, 83-87.

Figlewski, S., 1984, "Margins and market integrity: margin setting for stock index futures and options,” Journal of Futures Markets, 4, 385-416.

Fortune, P. (2001). Margin Lending and stock market volatility, New England Economic Review 4(4), 1-25.

French, K. R, Schwert, G. W., and Stambaugh R. F. (1987). Expected Stock Returns and Volatility. Journal of Financial Economics 19, 3-29.

Hardouvelis, G. A. and Theodossiou, P. (2002). The asymmetric relation between Initial Margin Requirements and Stock Market Volatility across Bull and Bear Markets. The Review of Financial Studies 15(5), 1525-1559

Moore, T., 1966, "Stock market margin requirements,” Journal of Political Economy, 74, 158-167.

Hardouvelis, G. and Peristiani, S. (1989/1990). Do Margin Requirements Matter? Evidence from U.S. and Japanese Stock Markets. Federal Reserve Bank of New York Quarterly Review 14(4), 16.

Hardouvelis, Gikas A (1988). Margin requirements and stock market volatility. FRBNY Quarterly Review, Summer 1988.

Harlow, W. V. And Brown, K. C. (1990). Understanding and Assessing Financial Risk Tolerance: A Biological Perspective. Financial Analysts Journal.

Schoemaker, P. J. H. (1993). Determinants of RiskTaking: Behavioral and Economic Views. Journal of Risk and Uncertainty 6, 49-73.

Hsieh, D. A. and Miller, M. H. (1990). Margin Regulation and Stock Market Volatility. The Journal of Finance 45, 3–29.

Hsu, Y. (1996). Margin requirements and stock market volatility: Another look at the case of Taiwan. Pacific Basin Finance Journal, 4, 409-419

Kim, K. A. and Oppenheimer, H. R. (2002). Initial Margin Requirements, Volatility, and the Individual Investor: Insights from Japan. The Financial Review 37, 1”16

Krause, G. A. (2010). Agency Budgetary Risk Preferences under Context Dependent Uncertainty: An Analytical Inquiry, University of South Carolina

Kupiec, P. H. and Steven A. S. (1991). Animal Spirits, Margin Requirements, and Stock Price Volatility”, The Journal of Finance 46, 717–731.

Lee, K. Y. (2009). Margin Requirements and Volatility: Evidence from Canadian Stocks. M.Sc in Management Thesis, Brock University.

Lee, S. B. and Yoo, T. Y. (1993). Margin regulation and stock market volatility: further evidence from Japan, Korea and Taiwan. Pacific-Basin Finance Journal 1, 155 -174.

Ricke, M. (2003). What is the link between margin loans and stock market bubbles? Institut fur creditwesen, University of Munster, Discussion paper 2003-01.

Salinger, M. A. (1989). Stock market margin requirements and volatility: Implications for regulation of stock index Futures. Journal of Financial Services Research 3, 121 -138.

Schwert, G. W. (1989). Margin Requirements and Stock Volatility. Journal of Financial Services Research 3, 153 -164.




How to Cite

Mainul Ahsan, A. F. M., Gani, M. O., & Bokhtiar Hasan, M. (2012). Margin Requirements and Stock Market Volatility in Bangladesh. SDMIMD Journal of Management, 3(2), 29–42.