Overnight and Daytime Stock Return Dynamics on the London Stock Exchange
Title | Overnight and Daytime Stock Return Dynamics on the London Stock Exchange PDF eBook |
Author | Ronald W. Masulis |
Publisher | |
Pages | 52 |
Release | 1993 |
Genre | |
ISBN |
Overnight and Daytime Stock Return Dynamics on the London Stock Exchange
Title | Overnight and Daytime Stock Return Dynamics on the London Stock Exchange PDF eBook |
Author | Victor Ng |
Publisher | |
Pages | 14 |
Release | 2006 |
Genre | |
ISBN |
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 quot;Big Bangquot;, which merged broker and dealer functions and after the1987 stock market crash.
Stock Return Dynamics Over Intra-day Trading and Nontrading Periods in the London Stock Market
Title | Stock Return Dynamics Over Intra-day Trading and Nontrading Periods in the London Stock Market PDF eBook |
Author | Ronald W. Masulis |
Publisher | |
Pages | 42 |
Release | 1992 |
Genre | |
ISBN |
Price Change and Trading Activity Dynamics on the London Stock Exchange
Title | Price Change and Trading Activity Dynamics on the London Stock Exchange PDF eBook |
Author | Ronald W. Masulis |
Publisher | |
Pages | 46 |
Release | 1992 |
Genre | |
ISBN |
Ibss: Economics: 1995
Title | Ibss: Economics: 1995 PDF eBook |
Author | Compiled by the British Library of Political and Economic Science at the London School of Economics |
Publisher | Psychology Press |
Pages | 680 |
Release | 1996 |
Genre | Economics |
ISBN | 9780415152150 |
The IBSS is the essential tool for librarians, university departments, research institutions and any public or private institutions whose work requires access to up-to-date and comprehensive knowledge of the social sciences.
Do Bulls and Bears Move Across Borders?
Title | Do Bulls and Bears Move Across Borders? PDF eBook |
Author | Wen-Ling Lin |
Publisher | |
Pages | 54 |
Release | 1991 |
Genre | Stocks |
ISBN |
This paper investigates empirically how returns and volatilities of stock indices are correlated between Tokyo and New York. Intradaily data are used, so that daytime and overnight returns are defined for both markets. Tokyo daytime hours overlap with New York overnight hours, while New York daytime hours overlap with Tokyo overnight hours. We find that in general Tokyo (Mew York) daytime returns are significantly correlated with New York (Tokyo) overnight returns. This suggests that information revealed during the trading hours of one market has a global impact on the returns of the other market. One exception is that after the October 1987 Crash, the Tokyo overnight returns were not significantly affected by New York daytime returns. We propose and estimate a signal extraction model with GARCH processes to determine the global factor from daytime returns. This is the problem of setting the opening price of a domestic market conditional on the foreign daytime returns. We also investigate lagged return and volatility spillovers. Except for a lagged return spillover from New York to Tokyo for the period after the Crash, there are no significant lagged spillovers in returns or in volatilities.
JOURNAL OF BUSINESS AND ECONOMIC STATISTICS
Title | JOURNAL OF BUSINESS AND ECONOMIC STATISTICS PDF eBook |
Author | |
Publisher | |
Pages | 538 |
Release | 1995 |
Genre | |
ISBN |