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Trading Collar, Intraday, Periodicity, And Stock Market Volatility

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  • Aradhyula, Satheesh V.
  • Ergun, A. Tolga

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.

Suggested Citation

  • Aradhyula, Satheesh V. & Ergun, A. Tolga, 2002. "Trading Collar, Intraday, Periodicity, And Stock Market Volatility," 2002 Annual meeting, July 28-31, Long Beach, CA 19630, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    • Handle: RePEc:ags:aaea02:19630
    DOI: 10.22004/ag.econ.19630
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    References listed on IDEAS

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    1. Bollerslev, Tim, 2001. "Financial econometrics: Past developments and future challenges," Journal of Econometrics, Elsevier, vol. 100(1), pages 41-51, January.
    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.
    3. Diebold & Lopez, "undated". "Modeling Volatility Dynamics," Home Pages _062, University of Pennsylvania.
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