Overnight and Daytime Stock-Return Dynamics on the London Stock Exchange: The Impact of the "Big Bang" and the 1987 Stock-Market Crash

Ronald Masulis and Victor K Ng

Journal of Business & Economic Statistics, 1995, vol. 13, issue 4, 365-78

Abstract: The authors explore the time-series properties of stock returns on the London Stock Exchange around the 1986 market restructuring (Big Bang) and the 1987 stock market crash using a modified GARCH model. Using this general dynamic model, which allows intradaily returns to have different impacts and persistence of stock return volatility, asymmetric return effects on volatility, and intradaily returns to follow conditional distributions with different fourth moments, they uncover important changes in return dynamics and conditional fourth moments following Big Bang and the 1987 crash not reported before.

Date: 1995
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Persistent link: https://EconPapers.repec.org/RePEc:bes:jnlbes:v:13:y:1995:i:4:p:365-78

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