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After-hours stock prices and post-crash hangovers

Citations

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Cited by:

  1. Vinodh Madhavan & Partha Ray, 2019. "Price and Volatility Linkages Between Indian Stocks and Their European GDRs," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 18(2_suppl), pages 213-237, August.
  2. Qadan, Mahmoud, 2018. "Switches in price discovery: Are U.S. traders more qualified in making valuations?," The North American Journal of Economics and Finance, Elsevier, vol. 44(C), pages 221-234.
  3. Hens, Thorsten & Schindler, Nilüfer, 2020. "Value and patience: The value premium in a dividend-growth model with hyperbolic discounting," Journal of Economic Behavior & Organization, Elsevier, vol. 172(C), pages 161-179.
  4. Chris D'Souza, 2007. "Where Does Price Discovery Occur in FX Markets?," Staff Working Papers 07-52, Bank of Canada.
  5. Lin, Wen-Ling, 1995. "Market closure and predictability of intradaily stock returns in the United States and Japan," Journal of Empirical Finance, Elsevier, vol. 2(1), pages 19-44, March.
  6. Shmuel Hauser & Yael Tanchuma & Uzi Yaari, 1998. "International Transfer Of Pricing Information Between Dually Listed Stocks," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 21(2), pages 139-157, June.
  7. Ahmed El Ghini & Youssef Saidi, 2017. "Return and volatility spillovers in the Moroccan stock market during the financial crisis," Empirical Economics, Springer, vol. 52(4), pages 1481-1504, June.
  8. Gagnon, Louis & Karolyi, G. Andrew, 2009. "Information, Trading Volume, and International Stock Return Comovements: Evidence from Cross-Listed Stocks," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 44(4), pages 953-986, August.
  9. Chih-hsiang Hsu & Ming-sung Kao & Wei-pen Tsai, 2014. "Information Transmission between Dual Listed Stocks with Non-Overlapping Trading Hours," Economics Bulletin, AccessEcon, vol. 34(3), pages 1733-1741.
  10. Lin, W.L. & Engle, R.F. & Ito, T., 1991. "Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility as the World Turns," Working papers 9121, Wisconsin Madison - Social Systems.
  11. Gagnon, Louis & Karolyi, G. Andrew, 2006. "Price and Volatility Transmission across Borders," Working Paper Series 2006-5, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  12. Agarwal, Sumit & Liu, Chunlin & Rhee, S. Ghon, 2007. "Where does price discovery occur for stocks traded in multiple markets? Evidence from Hong Kong and London," Journal of International Money and Finance, Elsevier, vol. 26(1), pages 46-63, February.
  13. Constantinos Katrakilidis & Athanasios Koulakiotis, 2006. "The Impact of Stock Exchange Rules on Volatility and Error Transmission -- The Case of Frankfurt and Zurich Cross-Listed Equities," Annals of Economics and Finance, Society for AEF, vol. 7(2), pages 321-338, November.
  14. Timofei Bogomolov & Lixian Liu & Petko S Kalev, 2013. "Can time difference deter arbitrage opportunities?," Journal of Asset Management, Palgrave Macmillan, vol. 14(2), pages 79-94, April.
  15. Goetzmann, William N. & Ivković, Zoran & Rouwenhorst, K. Geert, 2001. "Day Trading International Mutual Funds: Evidence and Policy Solutions," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 36(3), pages 287-309, September.
  16. Tse, Yiuman, 1999. "Round-the-clock market efficiency and home bias: Evidence from the international Japanese government bonds futures markets," Journal of Banking & Finance, Elsevier, vol. 23(12), pages 1831-1860, December.
  17. Koulakiotis, Athanasios & Dasilas, Apostolos & Papasyriopoulos, Nicholas, 2009. "Volatility and error transmission spillover effects: Evidence from three European financial regions," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(3), pages 858-869, August.
  18. Vlasova, E. & Luo, D., 2022. "Volatility spillover between the Russia-India-China triad and the United States: A multivariate generalized autoregressive conditional heteroscedasticity analysis," Journal of the New Economic Association, New Economic Association, vol. 54(2), pages 111-128.
  19. Júlio Lobão & Maria Eva Jerke, 2020. "Short-term Overreaction in American Depository Receipts," Scientific Annals of Economics and Business (continues Analele Stiintifice), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 67(4), pages 423-435, December.
  20. Partha Ray & Vinodh Madhavan, 2014. "Price and Volatility Linkages between Indian Stocks and their European GDRs," Proceedings of International Academic Conferences 0300812, International Institute of Social and Economic Sciences.
  21. Rabinovitch, Ramon & Silva, Ana Cristina & Susmel, Raul, 2003. "Returns on ADRs and arbitrage in emerging markets," Emerging Markets Review, Elsevier, vol. 4(3), pages 225-247, September.
  22. Goodhart, Charles A. E. & O'Hara, Maureen, 1997. "High frequency data in financial markets: Issues and applications," Journal of Empirical Finance, Elsevier, vol. 4(2-3), pages 73-114, June.
  23. Ito, Takatoshi & Engle, Robert F. & Lin, Wen-Ling, 1992. "Where does the meteor shower come from? : The role of stochastic policy coordination," Journal of International Economics, Elsevier, vol. 32(3-4), pages 221-240, May.
  24. Bhargava, Rahul & Dubofsky, David A., 2001. "A note on fair value pricing of mutual funds," Journal of Banking & Finance, Elsevier, vol. 25(2), pages 339-354, February.
  25. Michael J. Fleming, 1997. "The round-the-clock market for U.S. Treasury securities," Economic Policy Review, Federal Reserve Bank of New York, vol. 3(Jul), pages 9-32.
  26. Zolotoy, L., 2008. "Empirical essays on the information transfer between and the informational efficiency of stock markets," Other publications TiSEM 2a2652c6-1060-4622-8721-8, Tilburg University, School of Economics and Management.
  27. Sandeep Patel & Asani Sarkar, 1998. "Stock market crises in developed and emerging markets," Research Paper 9809, Federal Reserve Bank of New York.
  28. Wang, Steven Shuye & Meng Rui, Oliver & Firth, Michael, 2002. "Return and volatility behavior of dually-traded stocks: the case of Hong Kong," Journal of International Money and Finance, Elsevier, vol. 21(2), pages 265-293, April.
  29. Nicholas Apergis & Costas Katrakilidis & Stamatis Papastamatis, 1997. ""Meteor showers" and "heat waves" in Greek financial markets," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 3(4), pages 364-375, November.
  30. William Goetzmann & Zoran Ivkovich & K. Rouwenhorst, 2000. "Day Trading International Mutual Funds: Evidence And Policy Solutions," Yale School of Management Working Papers ysm138, Yale School of Management, revised 01 Jun 2001.
  31. Craig, Alastair & Dravid, Ajay & Richardson, Matthew, 1995. "Market efficiency around the clock Some supporting evidence using foreign-based derivatives," Journal of Financial Economics, Elsevier, vol. 39(2-3), pages 161-180.
  32. Manuela CROCI, 2003. "An empirical analysis of international equity market co-movements: implications for informational efficiency," Working Papers 197, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
  33. Kaul, Aditya & Mehrotra, Vikas, 2007. "The role of trades in price convergence: A study of dual-listed Canadian stocks," Journal of Empirical Finance, Elsevier, vol. 14(2), pages 196-219, March.
  34. Abhyankar, Abhay H., 1995. "Trading-round-the clock: Return, volatility and volume spillovers in the Eurodollar futures markets," Pacific-Basin Finance Journal, Elsevier, vol. 3(1), pages 75-92, May.
  35. Shinhua Liu, 2007. "Securities Transaction Tax and Market Efficiency: Evidence from the Japanese Experience," Journal of Financial Services Research, Springer;Western Finance Association, vol. 32(3), pages 161-176, December.
  36. Lieberman, Offer & Ben-Zion, Uri & Hauser, Shmuel, 1999. "A characterization of the price behavior of international dual stocks: an error correction approach," Journal of International Money and Finance, Elsevier, vol. 18(2), pages 289-304, February.
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