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

Author: K C Chan; Wai-Ming Fong; René M Stulz; National Bureau of Economic Research.
Publisher: Cambridge, Mass. : National Bureau of Economic Research, 1994.
Series: Working paper series (National Bureau of Economic Research), no. 4743.
Edition/Format:   eBook : Document : EnglishView all editions and formats
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  Read more...
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Material Type: Document
Document Type: Book, Computer File
All Authors / Contributors: K C Chan; Wai-Ming Fong; René M Stulz; National Bureau of Economic Research.
OCLC Number: 1091132648
Description: 1 online resource (23, [17] pages) : illustrations, digital
Series Title: Working paper series (National Bureau of Economic Research), no. 4743.
Responsibility: K.C. Chan, Wai-Ming Fong, René M. Stulz.

Abstract:

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.

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