Ronald W Masulis

Biographic Data

ID8920595
NAMERonald W Masulis
GIVEN NAMESRonald W
FAMILY NAMEMasulis
SIGNATUREMASULIS R W
AFFILIATIONSVanderbilt University
ORCID0000-0001-5205-341X
VERIFIEDYes
TOTAL WORKS2
TOTAL CITATIONS0
AUTHOR COUNT2
EDITOR COUNT0
FIRST PUBLICATION YEAR1995
LATEST PUBLICATION YEAR1995
H-INDEX0

  • Overnight and Daytime Stock-Return Dynamites on the London Stock Exchange

    Ronald W Masulis, Victor Ng et al.ARTICLEJournal of Business and Economic…1995

    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) intra…

  • Overnight and Daytime Stock-Return Dynamics on the London Stock Exchange

    Ronald W Masulis, Victor Ng et al.ARTICLEJournal of Business and Economic…1995

    Ronald W. Masulis, Victor K. Ng, Overnight and Daytime Stock-Return Dynamics on the London Stock Exchange: The Impacts of "Big Bang" and the 1987 Stock-Market Crash, Journal of Business & Economic Statistics, Vol. 13, No. 4 (Oct., 1995), pp. 365-378