Intraweek and intraday seasonalities in stock market risk premia: cash and futures
Article Abstract:
The intraweek and intraday transactions of the cash and futures exchanges affect the seasonality prices within the London Stock Exchange (LSE) and the London International Financial Futures Exchange (LIFFE) markets. The correlation between the unique settlement features of the LSE and the LIFFE and its impact on seasonal trading was compared. The parametric and non-parametric test models were applied on stocks traded ex post risk premia on the Financial Times Stock Exchange 100 Index from 1986 to 1990. The study concluded that settlement seasonality within the UK stock market triggers a similar occurrence in the futures market.
Publication Name: Journal of Banking & Finance
Subject: Business
ISSN: 0378-4266
Year: 1992
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Deregulation and the volatility of UK stock prices
Article Abstract:
An analysis of the UK stock market is presented. The analysis focuses on variations which developed in the country's stock exchange following deregulation on Oct 27, 1986, which was called the Big Bang. It is shown that the stock exchange exhibited relatively stable behavior in the period following the Big Bang but before Oct 19, 1987, called Black Monday. However, a more volatile pattern emerged in the period after Black Monday.
Publication Name: Journal of Business Finance and Accounting
Subject: Business
ISSN: 0306-686X
Year: 1993
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Non-linear dependence in stock returns: Does trading frequency matter?
Article Abstract:
The non-linear dynamics of stock returns are addressed.
Publication Name: Journal of Business Finance and Accounting
Subject: Business
ISSN: 0306-686X
Year: 1999
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