Information, Trading and Stock Returns: Lessons from Dually-listed SecuritiesThis 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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15 lags 16:00 Interval Ending Afternoon Total t-stat Alcohol Advertising American investors American Matching Stocks arrival of public bid-ask midpoints bid-ask quote bid-ask spread Bureau of Economic CORP covariance matrix CUSIP daily volatility accrues dually-listed stocks Economic Research estimate European stocks evidence firms foreign stocks trading Foster and Viswanathan fraction of daily Fraction of Intraday Glenn Hubbard HITACHI LTD INDS INC intra-day patterns intra-day volatility Intraday Afternoon Total Intraday Total Intraday Intraday Total Morning J-LSE Japan LSE Japan Non-LSE Japanese stocks listed listed in London London Stock Exchange matching American stocks method with 15 mid-point moming National Bureau NBER Working Papers Newey and West normalized volatility normalized volume NORSK HYDRO NTPD NYSE Panel pattems private information RES CORP retum significantly higher STOCK RETURNS stocks have significantly t-statistics are obtained Tokyo stock exchange total intraday variance trading day trading volume U-shaped pattern U.S. Fraction volume and volatility