Publication in refereed journal
香港中文大学研究人员 ( 现职)
| 方伟明教授 (金融学系) |
全文
| 数位物件识别号 (DOI) http://dx.doi.org/10.1016/0378-4266(95)00041-0 |
引用次数
Web of Sciencehttp://aims.cuhk.edu.hk/converis/portal/Publication/21WOS source URL
其它资讯
摘要This paper compares the intra-day patterns on the NYSE and AMEX of volatility, trading volume and bid-ask spreads for European and Japanese dually-listed stocks with American stocks of comparable average trading volume and volatility. It is shown that the intra-day patterns for thc;se stocks are remarkably similar even though public information flows differ markedly across these stocks during the trading day. In the early morning, all stocks have higher volatility than later in the day, but this phenomenon is most pronounced for Japanese stocks and affects American stocks the least. We argue that these patterns are consistent with markets reacting to the overnight accumulation of public information but are inconsistent with the view that early morning volatility can be attributed to monopolistic specialist behavior.
着者Chan KC, Fong WM, Kho BC, Stulz RM
期刊名称Journal of Banking and Finance
出版年份1996
月份8
日期1
卷号20
期次7
出版社ELSEVIER SCIENCE BV
页次1161 - 1187
国际标準期刊号0378-4266
电子国际标準期刊号1872-6372
语言英式英语
关键词ADR; bid-ask spread; public information; volatility; volume
Web of Science 学科类别Business & Economics; Business, Finance; BUSINESS, FINANCE; Economics; ECONOMICS
