M. Salinger, “Stock Market Margin Requirements and Volatility: Implications for Regulation of Stock Index Futures,” Journal of Financial Services Research, Vol. 3, No. 2-3, December 1989, pp. 121-138.

has been cited by the following article:

• TITLE: Do Leveraged ETFs Increase Volatility

  AUTHORS: William J. Trainor

  KEYWORDS: Leveraged ETFs, Volatility, Momentum

  JOURNAL NAME: Technology and Investment, Vol.1 No.3, August 27, 2010

  ABSTRACT: The 2008 financial crisis has produced volatility levels not seen since the 1987 stock market crash more than 20 years ago. During that time, the culprit was thought to be index futures and program trading. This time, leveraged ETFs and their rebalancing trades have been singled out by some to explain both the spike in volatility and the appearance of large price swings at the end of the trading day. This study examines the merit of these accusations and whether the increase in volatility and end of the day price momentum is indeed linked to leveraged ETFs and their rebalancing trades. For the S&P 500, the relationship appears to be a spurious coincidence.