Abstract

http://ssrn.com/abstract=892187
 
 

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Overnight and Daytime Stock Return Dynamics on the London Stock Exchange


Victor Ng


University of Michigan at Ann Arbor

Ronald W. Masulis


University of New South Wales - Australian School of Business; European Corporate Governance Institute (ECGI); Financial Research Network (FIRN)


Journal of Business and Economic Statistics, Vol. 13, No. 4, 365-378, October 1995

Abstract:     
We explore the time series properties of overnight and daytime returns on the London Stock Exchange's primary stock market index, the FTSE-100 on the over the 1984-1991 period. We use a modified GARCH model to specify daytime and overnight return dynamics where (a) intra-day returns can have different impacts and persistence on stock return volatility, (b) return effects on volatility can be asymmetric and (c) intra-day returns can follow conditional distributions with different fourth moments. We uncover important changes in return dynamics and conditional fourth moments following the stock exchange's major restructuring called "Big Bang", which merged broker and dealer functions and after the1987 stock market crash.

Number of Pages in PDF File: 14

Keywords: Stock Return Dynamics, London Stock Exchange, GARCH, Exchange Restructuring, Big Bang, Stock Market Crash

JEL Classification: G12, G14, C22, L11

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Date posted: March 30, 2006  

Suggested Citation

Ng, Victor and Masulis, Ronald W., Overnight and Daytime Stock Return Dynamics on the London Stock Exchange . Journal of Business and Economic Statistics, Vol. 13, No. 4, 365-378, October 1995. Available at SSRN: http://ssrn.com/abstract=892187

Contact Information

Victor Ng
University of Michigan at Ann Arbor ( email )
Ann Arbor, MI 48109
United States
Ronald W. Masulis (Contact Author)
University of New South Wales - Australian School of Business ( email )
Sydney, NSW 2052
Australia
612-9385-5860 (Phone)
612-9385-6347 (Fax)

European Corporate Governance Institute (ECGI) ( email )
c/o ECARES ULB CP 114
B-1050 Brussels
Belgium
Financial Research Network (FIRN)
C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia
HOME PAGE: http://www.firn.org.au

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