| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w4743 |
| 来源ID | Working Paper 4743 |
| Information, Trading and Stock Returns: Lessons from Dually-Listed Securities | |
| K.C. Chan; Wai-Ming Fong; Rene M. Stulz | |
| 发表日期 | 1994-05-01 |
| 出版年 | 1994 |
| 语种 | 英语 |
| 摘要 | 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. |
| URL | https://www.nber.org/papers/w4743 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/562140 |
| 推荐引用方式 GB/T 7714 | K.C. Chan,Wai-Ming Fong,Rene M. Stulz. Information, Trading and Stock Returns: Lessons from Dually-Listed Securities. 1994. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w4743.pdf（453KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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