TY - JOUR
T1 - Trading collar, intraday periodicity and stock market volatility
AU - Aradhyula, Satheesh V.
AU - Ergün, A. Tolga
PY - 2004/9/1
Y1 - 2004/9/1
N2 - 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.
AB - 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.
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U2 - 10.1080/09603100410001673072
DO - 10.1080/09603100410001673072
M3 - Article
SN - 0960-3107
VL - 14
SP - 909
EP - 913
JO - Applied Financial Economics
JF - Applied Financial Economics
IS - 13
ER -