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Masulis, R.W. and Ng, V.K. (1995) Overnight and Daytime Stock-Return Dynamites on the London Stock Exchange: The Impacts of “Big Bang” and the 1987 Stock-Market Crash. Journal of Business & Economic Statistics, 13, 365-378.
https://doi.org/10.1080/07350015.1995.10524612

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