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DEREGULATION AND THE VOLATILITY OF UK STOCK PRICES
Author(s) -
Peel David A.,
Pope Peter F.,
Yadav Pradeep K.
Publication year - 1993
Publication title -
journal of business finance and accounting
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.282
H-Index - 77
eISSN - 1468-5957
pISSN - 0306-686X
DOI - 10.1111/j.1468-5957.1993.tb00261.x
Subject(s) - volatility (finance) , economics , stock market , deregulation , big bang (financial markets) , stock (firearms) , monetary economics , financial economics , implied volatility , finance , market economy , mechanical engineering , paleontology , horse , engineering , biology
This paper examines the behaviour of the UK stock market for significant changes in volatility over the four years surrounding Big Bang i.e. 27 October, 1986 when the market was substantially deregulated. The main findings are that after Big Bang but prior to Black Monday, the UK stock market was no more volatile than prior to Big Bang, but that after Black Monday, the UK market was more volatile than prior to Big Bang even after adjusting for increases in global volatility.