TRADING COLLAR, INTRADAY, PERIODICITY, AND STOCK MARKET VOLATILITY
| dc.creator | Aradhyula, Satheesh V. | |
| dc.creator | Ergun, A. Tolga | |
| dc.date | 2017-04-01T14:04:54Z | |
| dc.date.accessioned | 2026-07-09T03:28:28Z | |
| dc.description | 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. | |
| dc.identifier | doi:10.22004/ag.econ.19630 | |
| dc.identifier | https://ageconsearch.umn.edu/record/19630/files/sp02ar01.pdf | |
| dc.identifier | http://ageconsearch.umn.edu/record/19630 | |
| dc.identifier.uri | http://hdl.handle.net/123456789/533160 | |
| dc.language | eng | |
| dc.publisher | ||
| dc.source | http://ageconsearch.umn.edu/record/19630 | |
| dc.title | TRADING COLLAR, INTRADAY, PERIODICITY, AND STOCK MARKET VOLATILITY | |
| dc.type | Text |