Mayhew, Stewart; Sarin, Atulya; Shastri, Kuldeep - In: Journal of Finance 50 (1995) 5, pp. 1635-53
The authors examine the impact of changes in equity-option margin requirements on the liquidity of options and underlying stock markets. They find that the decrease in margin was associated with an increase in spreads and trade informativeness, and a decrease in depth for the underlying stocks....