TRADING COLLAR, INTRADAY, PERIODICITY, AND STOCK MARKET VOLATILITY

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.


Subject(s):
Issue Date:
2002
Publication Type:
Conference Paper/ Presentation
PURL Identifier:
http://purl.umn.edu/19630
Total Pages:
13
Series Statement:
Selected Paper




 Record created 2017-04-01, last modified 2017-08-22

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