Li, Dong; Lin, Shao-King; Li, Chulin - In: Applied Financial Economics 7 (1997) 6, pp. 689-694
In this paper we investigate the impact of the switching from the same-day settlement to the following-day settlement on the market volatility and its structure. Using the Levene tests and bootstrap procedures, we find that the switching causes a drastic decrease in the stock market volatility....