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Trading collar, intraday periodicity and stock market volatility

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  • Satheesh Aradhyula
  • A. Tolga Ergun

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.

Suggested Citation

  • Satheesh Aradhyula & A. Tolga Ergun, 2004. "Trading collar, intraday periodicity and stock market volatility," Applied Financial Economics, Taylor & Francis Journals, vol. 14(13), pages 909-913.
    • Handle: RePEc:taf:apfiec:v:14:y:2004:i:13:p:909-913
    DOI: 10.1080/09603100410001673072
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    References listed on IDEAS

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    1. Diebold & Lopez, "undated". "Modeling Volatility Dynamics," Home Pages _062, University of Pennsylvania.
    2. Andersen, Torben G. & Bollerslev, Tim, 1997. "Intraday periodicity and volatility persistence in financial markets," Journal of Empirical Finance, Elsevier, vol. 4(2-3), pages 115-158, June.
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    Cited by:

    1. Ergün, A. Tolga & Jun, Jongbyung, 2010. "Time-varying higher-order conditional moments and forecasting intraday VaR and Expected Shortfall," The Quarterly Review of Economics and Finance, Elsevier, vol. 50(3), pages 264-272, August.
    2. Samit Paul & Madhusudan Karmakar, 2017. "Relative Efficiency of Component GARCH-EVT Approach in Managing Intraday Market Risk," Multinational Finance Journal, Multinational Finance Journal, vol. 21(4), pages 247-283, December.
    3. Karmakar, Madhusudan & Paul, Samit, 2016. "Intraday risk management in International stock markets: A conditional EVT approach," International Review of Financial Analysis, Elsevier, vol. 44(C), pages 34-55.
    4. Stanislav Anatolyev & Dmitry Shakin, 2007. "Trade intensity in the Russian stock market: dynamics, distribution and determinants," Applied Financial Economics, Taylor & Francis Journals, vol. 17(2), pages 87-104.
    5. Aditya Banerjee & Samit Paul, 2024. "Idiosyncrasies of Intraday Risk in Emerging and Developed Markets: Efficacy of the MCS-GARCH Model and Extreme Value Theory," Global Business Review, International Management Institute, vol. 25(2), pages 468-490, April.
    6. A. Tolga Ergun, 2009. "NYSE Rule 80A restrictions on index arbitrage and market linkage," Applied Financial Economics, Taylor & Francis Journals, vol. 19(20), pages 1675-1685.
    7. Imtiaz Mohammad Sifat & Azhar Mohamad, 2019. "Circuit breakers as market stability levers: A survey of research, praxis, and challenges," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 24(3), pages 1130-1169, July.
    8. Karmakar, Madhusudan & Paul, Samit, 2019. "Intraday portfolio risk management using VaR and CVaR:A CGARCH-EVT-Copula approach," International Journal of Forecasting, Elsevier, vol. 35(2), pages 699-709.

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