Information, Trading and Stock Returns: Lessons from Dually-Listed Securities

Posted: 7 Jan 2008

See all articles by K.C. Chan

K.C. Chan

Hong Kong University of Science & Technology (HKUST) - Department of Finance

Wai Ming Fong

The Chinese University of Hong Kong (CUHK) - Department of Finance

René M. Stulz

Ohio State University (OSU) - Department of Finance; National Bureau of Economic Research (NBER); European Corporate Governance Institute (ECGI)

Bong-Chan Kho

Seoul National University, Business School

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Abstract

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 these 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.

Keywords: Public information, Volatility, Volume, Bid-ask spread

JEL Classification: G10, G14

Suggested Citation

Chan, Kakeung C. and Fong, Wai Ming and Stulz, Rene M. and Kho, Bong-Chan, Information, Trading and Stock Returns: Lessons from Dually-Listed Securities. Journal of Banking and Finance, Vol. 20, No. 7, 1996. Available at SSRN: https://ssrn.com/abstract=1081183

Kakeung C. Chan

Hong Kong University of Science & Technology (HKUST) - Department of Finance ( email )

Clear Water Bay, Kowloon
Hong Kong
852-2358 7669 (Phone)
852-2358 1749 (Fax)

Wai Ming Fong

The Chinese University of Hong Kong (CUHK) - Department of Finance ( email )

Shatin, N.T.
Hong Kong

Rene M. Stulz

Ohio State University (OSU) - Department of Finance ( email )

2100 Neil Avenue
Columbus, OH 43210-1144
United States

HOME PAGE: http://www.cob.ohio-state.edu/fin/faculty/stulz

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

European Corporate Governance Institute (ECGI)

c/o ECARES ULB CP 114
B-1050 Brussels
Belgium

Bong-Chan Kho (Contact Author)

Seoul National University, Business School ( email )

607 LG Hall
1 Gwanak-ro, Gwanak-gu
Seoul, 08826
Korea, Republic of (South Korea)
+82-2-880-8798 (Phone)
+82-2-876-8411 (Fax)

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