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
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