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...

The authors investigate the importance of bid-ask spread-induced biases on event date returns as exemplified by seasoned equity offerings by NYSE listed firms. They document significant negative return biases on the offering day, which explain a large portion of the negative event date returns...

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...