Overnight and Daytime Stock-Return Dynamites on the London Stock Exchange: The Impacts of “Big Bang” and the 1987 Stock-Market Crash
使用改进的GARCH模型，研究伦敦证券交易所1986年“大爆炸”改革和1987年股市崩盘前后股票收益的时间序列特性，发现隔夜与日间收益对波动率的影响、不对称性及条件四阶矩发生了重要变化。
We 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 generalized autoregressive conditional heteroscedasticity model. Using this general dynamic model, which allows (a) intradaily returns to have different impacts and persistence on stock-return volatility, (b) return effects on volatility to be asymmetric, and (c) intradaily returns to follow conditional distributions with different fourth moments, we uncover important changes in return dynamics and conditional fourth moments following Big Bang and the 1987 crash not reported before.