[英文文献] Trading Collar, Intraday, Periodicity, And Stock Market Volatility [推广有奖]

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汇金投资342 发表于 2005-9-11 16:32:34 |AI写论文

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英文文献：Trading Collar, Intraday, Periodicity, And Stock Market Volatility
英文文献作者：Aradhyula, Satheesh V.,Ergun, A. Tolga
英文文献摘要：
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.