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After-hours stock prices and post-crash hangovers

Author

Listed:
  • David Neumark
  • Peter A. Tinsley
  • Suzanne Tosini

Abstract

After-hours pricing in foreign equity markets of multiple-listed U.S. securities appeared to be efficient in predicting New York prices in the weeks immediately following the October 1987 crash, but relatively uninformative in succeeding months. By contrast, daily changes in New York prices appear to be efficiently incorporated in after-hours trading on both the Tokyo and London exchanges throughout the sample period. This paper suggests that the asymmetry and temporal variations in cross-market correlations are consistent with rational investor behavior in equity markets with nonzero transaction costs and time-varying share price volatility. Copyright 1991 by American Finance Association.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • David Neumark & Peter A. Tinsley & Suzanne Tosini, 1988. "After-hours stock prices and post-crash hangovers," Finance and Economics Discussion Series 50, Board of Governors of the Federal Reserve System (U.S.).
    • Handle: RePEc:fip:fedgfe:50
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