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 language | English (US) |
---|---|
Pages (from-to) | 909-913 |
Number of pages | 5 |
Journal | Applied Financial Economics |
Volume | 14 |
Issue number | 13 |
DOIs | |
State | Published - Sep 1 2004 |
ASJC Scopus subject areas
- Finance
- Economics and Econometrics