Information, Trading and Stock Returns: Lessons from Dually-Listed Securities
Hong Kong University of Science & Technology (HKUST) - Department of Finance
Wai Ming Fong
Chinese University of Hong Kong (CUHK) - Department of Finance
Rene M. Stulz
Ohio State University (OSU) - Department of Finance; National Bureau of Economic Research (NBER); European Corporate Governance Institute (ECGI)
NBER Working Paper No. w4743
This paper compares the intra-day patterns on the NYSE and AMEX of volatility, trading volume and bid-ask spreads for European dually- listed stocks, Japanese dually-listed stocks also listed in London, and Japanese dually-listed stocks not listed in London with American stocks of comparable average trading volume and volatility. It is shown that the intra-day patterns for these stocks are remarkably similar even though the public information flows differ markedly across these stocks during the trading day. In the morning, Japanese stocks have the greatest volatility and volume, followed by European stocks and American stocks. These rankings are reversed in the afternoon. We argue that these patterns are consistent with markets reacting to the overnight accumulation of public information which is greatest for Japanese stock and smallest for American stocks and inconsistent with the view that early morning volatility can be attributed to monopolistic specialist behavior.
Number of Pages in PDF File: 42working papers series
Date posted: November 24, 2000
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