TRADING COLLAR, INTRADAY, PERIODICITY, AND STOCK MARKET VOLATILITY

Satheesh V. Aradhyula and A. Tolga Ergun

No 19630, 2002 Annual meeting, July 28-31, Long Beach, CA from American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association)

Abstract: Using 5 minute data, we examine market volatility in the Dow Jones Industrial Average in the presence of trading collars. We use a polynomial specification for capturing intraday seasonality. Results indicate that market volatility is 3.4 percent higher in declining markets when trading collars are in effect. Results also support a U-shaped intraday periodicity in volatility.

Keywords: Marketing (search for similar items in EconPapers)
Date: 2002
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