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Trading collar, intraday periodicity and stock market volatility

Satheesh Aradhyula () and A. Tolga Ergun

Applied Financial Economics, 2004, vol. 14, issue 13, 909-913

Abstract: Using five-minute data, market volatility in the Dow Jones Industrial Average is examined in the presence of trading collars. A polynomial specification is used for capturing intraday seasonality. Results indicate that market volatility is 3.4 % higher in declining markets when trading collars are in effect. Results also support a U-shaped intraday periodicity in volatility.

Date: 2004
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DOI: 10.1080/09603100410001673072

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Handle: RePEc:taf:apfiec:v:14:y:2004:i:13:p:909-913