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
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1080/09603100410001673072 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:apfiec:v:14:y:2004:i:13:p:909-913

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAFE20

DOI: 10.1080/09603100410001673072

Access Statistics for this article

Applied Financial Economics is currently edited by Anita Phillips

More articles in Applied Financial Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().