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)
Pages: 13
Date: 2002
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://ageconsearch.umn.edu/record/19630/files/sp02ar01.pdf (application/pdf)

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:ags:aaea02:19630

DOI: 10.22004/ag.econ.19630

Access Statistics for this paper

More papers in 2002 Annual meeting, July 28-31, Long Beach, CA from American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association) Contact information at EDIRC.
Bibliographic data for series maintained by AgEcon Search ().