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Overnight information and intraday trading behavior: evidence from NYSE cross-listed stocks and their local market information

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  • Chan, Kalok
  • Chockalingam, Mark
  • Lai, Kent W. L.
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    File URL: http://www.sciencedirect.com/science/article/B6VGV-410MJ2N-G/2/7cfa2b3e02a5d639ba25f3cf2f1d5c1e
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Multinational Financial Management.

    Volume (Year): 10 (2000)
    Issue (Month): 3-4 (December)
    Pages: 495-509

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    Handle: RePEc:eee:mulfin:v:10:y:2000:i:3-4:p:495-509

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    Web page: http://www.elsevier.com/locate/mulfin

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    References

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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    1. Gerety, Mason S & Mulherin, J Harold, 1994. "Price Formation on Stock Exchanges: The Evolution of Trading within the Day," Review of Financial Studies, Society for Financial Studies, vol. 7(3), pages 609-29.
    2. Foster, F Douglas & Viswanathan, S, 1993. " Variations in Trading Volume, Return Volatility, and Trading Costs: Evidence on Recent Price Formation Models," Journal of Finance, American Finance Association, vol. 48(1), pages 187-211, March.
    3. Jones, Charles M & Kaul, Gautam & Lipson, Marc L, 1994. "Transactions, Volume, and Volatility," Review of Financial Studies, Society for Financial Studies, vol. 7(4), pages 631-51.
    4. Amihud, Yakov & Mendelson, Haim, 1991. " Volatility, Efficiency, and Trading: Evidence from the Japanese Stock Market," Journal of Finance, American Finance Association, vol. 46(5), pages 1765-89, December.
    5. Brock, William A. & Kleidon, Allan W., 1992. "Periodic market closure and trading volume : A model of intraday bids and asks," Journal of Economic Dynamics and Control, Elsevier, vol. 16(3-4), pages 451-489.
    6. Gerety, Mason S & Mulherin, J Harold, 1992. " Trading Halts and Market Activity: An Analysis of Volume at the Open and the Close," Journal of Finance, American Finance Association, vol. 47(5), pages 1765-84, December.
    7. Berry, Thomas D & Howe, Keith M, 1994. " Public Information Arrival," Journal of Finance, American Finance Association, vol. 49(4), pages 1331-46, September.
    8. Jain, Prem C. & Joh, Gun-Ho, 1988. "The Dependence between Hourly Prices and Trading Volume," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 23(03), pages 269-283, September.
    9. Wood, Robert A & McInish, Thomas H & Ord, J Keith, 1985. " An Investigation of Transactions Data for NYSE Stocks," Journal of Finance, American Finance Association, vol. 40(3), pages 723-39, July.
    10. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-38, May.
    11. K.C. Chan & Wai-Ming Fong & Rene M. Stulz, 1994. "Information, Trading and Stock Returns: Lessons from Dually-Listed Securities," NBER Working Papers 4743, National Bureau of Economic Research, Inc.
    12. Stoll, Hans R & Whaley, Robert E, 1990. "Stock Market Structure and Volatility," Review of Financial Studies, Society for Financial Studies, vol. 3(1), pages 37-71.
    13. Karpoff, Jonathan M., 1987. "The Relation between Price Changes and Trading Volume: A Survey," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(01), pages 109-126, March.
    14. Leach, J Chris & Madhavan, Ananth N, 1993. "Price Experimentation and Security Market Structure," Review of Financial Studies, Society for Financial Studies, vol. 6(2), pages 375-404.
    15. Gallant, A Ronald & Rossi, Peter E & Tauchen, George, 1992. "Stock Prices and Volume," Review of Financial Studies, Society for Financial Studies, vol. 5(2), pages 199-242.
    16. Choe, Hyuk, 1994. "Pricing errors at the open and close for foreign stocks traded on the NYSE," Pacific-Basin Finance Journal, Elsevier, vol. 2(4), pages 481-495, December.
    17. Amihud, Yakov & Mendelson, Haim, 1987. " Trading Mechanisms and Stock Returns: An Empirical Investigation," Journal of Finance, American Finance Association, vol. 42(3), pages 533-53, July.
    18. Mitchell, Mark L & Mulherin, J Harold, 1994. " The Impact of Public Information on the Stock Market," Journal of Finance, American Finance Association, vol. 49(3), pages 923-50, July.
    19. Foster, F Douglas & Viswanathan, S, 1990. "A Theory of the Interday Variations in Volume, Variance, and Trading Costs in Securities Markets," Review of Financial Studies, Society for Financial Studies, vol. 3(4), pages 593-624.
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    Cited by:
    1. Sylvie Lecarpentier-Moyal & Georges Prat & Patricia Renou-Maissant & Remzi Uctum, 2013. "Persistence of announcement effects on the intraday volatility of stock returns: evidence from individual data," EconomiX Working Papers 2013-36, University of Paris West - Nanterre la Défense, EconomiX.
    2. repec:ipg:wpaper:27 is not listed on IDEAS
    3. Pascual-Fuster, Bartolome & Perez-Rodriguez, Jorge V., 2007. "Volatility transmission for cross-listed firms and the role of international exposure," Japan and the World Economy, Elsevier, vol. 19(3), pages 303-328, August.
    4. Abdelwahab Allali & Amor Oueslati & Abdelwahed Trabelsi, 2011. "Detection of Information Flow in Major International Financial Markets by Interactivity Network Analysis," Asia-Pacific Financial Markets, Springer, vol. 18(3), pages 319-344, September.
    5. Guido Russi, 2012. "Estimating the Leverage Effect Using High Frequency Data," Review of Economics & Finance, Better Advances Press, Canada, vol. 2, pages 1-24, February.

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