This paper examines daily open-to-close returns of major stock market indices on the New York Stock Exchange, Tokyo Stock Exchange and the London Stock Exchange over the 1985-1990 period, which encompasses the October 1987 Stock Market Crash. We estimate volatility spillover effects across the...

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...

The short-run interdependence of prices and price volatility across three major international stock markets is studied. Daily opening and closing prices of major stock indexes for the Tokyo, London, and New York stock markets are examined. The analysis utilizes the autoregressive conditionally...