Yadav, Pradeep K.; Paudyal, Krishna; Pope, Peter F. - In: Journal of Business Finance & Accounting 26 (1999-06) 5&6, pp. 651-679
The UK has a quote-driven pure dealer market structure that is very different from order driven markets such as the NYSE and Japanese markets. This paper investigates non-linear dependence in stock returns for an exhaustive sample of UK stocks for a 21 year period. The results are analysed on...