Download or read book Overnight and Daytime Stock Return Dynamics on the London Stock Exchange written by Victor Ng and published by . This book was released on 2006 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.