Information, trading and stock returns: Lessons from dually-listed securities

被引:32
作者
Chan, KC
Fong, WM
Kho, BC
Stulz, RM
机构
[1] OHIO STATE UNIV,DEPT FINANCE,COLUMBUS,OH 43210
[2] HONG KONG UNIV SCI & TECHNOL,HONG KONG,HONG KONG
[3] CHINESE UNIV HONG KONG,HONG KONG,HONG KONG
[4] SEOUL CITY UNIV,SEOUL,SOUTH KOREA
[5] NBER,CAMBRIDGE,MA 02138
关键词
ADR; public information; volatility; volume; bid-ask spread;
D O I
10.1016/0378-4266(95)00041-0
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
This paper compares the intra-day patterns on the NYSE and AMEX of volatility, trading volume and bid-ask spreads for European and Japanese dually-listed stocks with American stocks of comparable average trading volume and volatility. It is shown that the intra-day patterns for thc;se stocks are remarkably similar even though public information flows differ markedly across these stocks during the trading day. In the early morning, all stocks have higher volatility than later in the day, but this phenomenon is most pronounced for Japanese stocks and affects American stocks the least. We argue that these patterns are consistent with markets reacting to the overnight accumulation of public information but are inconsistent with the view that early morning volatility can be attributed to monopolistic specialist behavior.
引用
收藏
页码:1161 / 1187
页数:27
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