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.