Trading collar, intraday periodicity and stock market volatility

Satheesh V Aradhyula, A. Tolga Ergün

Research output: Contribution to journalArticle

10 Citations (Scopus)

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.

Original languageEnglish (US)
Pages (from-to)909-913
Number of pages5
JournalApplied Financial Economics
Volume14
Issue number13
DOIs
StatePublished - Sep 1 2004

Fingerprint

stock market
periodicity
market
seasonality
volatility
Market volatility
Stock market volatility
Periodicity
Seasonality
Polynomials

ASJC Scopus subject areas

  • Geography, Planning and Development

Cite this

Trading collar, intraday periodicity and stock market volatility. / Aradhyula, Satheesh V; Ergün, A. Tolga.

In: Applied Financial Economics, Vol. 14, No. 13, 01.09.2004, p. 909-913.

Research output: Contribution to journalArticle

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