Information, Trading and Stock Returns: Lessons from Dually-Listed Securities / K.C. Chan, Wai-Ming Fong, Rene M. Stulz.

Format:

Book

Author/Creator:

Chan, K.C.

Contributor:

National Bureau of Economic Research.

Fong, Wai-Ming.

Stulz, Rene M.

Series:

Working Paper Series (National Bureau of Economic Research) no. w4743.

NBER working paper series no. w4743

Language:

English

Subjects (All):

Securities--Listing.

Securities.

Stocks--Prices--Europe--Econometric models.

Stocks.

Stocks--Prices--Japan--Econometric models.

Stocks--Prices--United States--Econometric models.

Physical Description:

1 online resource: illustrations (black and white);

Other Title:

Information, Trading and Stock Returns

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 1994.

Cambridge, MA : National Bureau of Economic Research, 1994.

Summary:

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.

Notes:

Print version record

May 1994.