Information, Trading and Stock Returns: Lessons from Dually-Listed      Securities

Chan, Kalok; Fong, Wai Ming; Stulz, René M.; Kho, Bong‐Chan

doi:10.3386/w4743

Cited by 49 publications

(44 citation statements)

References 15 publications

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“…The main concern may be that close-to-open returns might be computed on only part of the trading day due to infrequent trading. However, we do not regard that this issue is important, as Chang et al (1995) has shown that intraday returns of sample of Japanese ADRs can be reliably measured even for just the last five minutes of trading. Further investigation might be necessary to confirm whether this evidence is applicable to other Asian firms as well.…”

Section: Resultsmentioning

confidence: 99%

Measuring financial market contagion using dually-traded stocks of Asian firms

Iwatsubo

Inagaki

2007

Journal of Asian Economics

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This paper investigates stock market contagion between U.S. and Asian markets. To distinguish between contagion and fundamentals-based stock price comovement, we use NYSE-traded stocks issued by Asian firms. Among the results, first we find that the empirical results show significant bilateral contagion effects in returns and return volatility. Second, contagion effects from U.S. market to Asian markets are stronger than in the reverse direction, indicating that the U.S. market plays a major role in the transmission of information to foreign markets. Third, the intensity of contagion was significantly greater during the Asian financial crisis than after the crisis.JEL classification: F37, G15.

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Section: Resultsmentioning

confidence: 99%

Measuring financial market contagion using dually-traded stocks of Asian firms

Iwatsubo

Inagaki

2007

Journal of Asian Economics

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“…However, the increasing importance of non U.S. companies listed on the NYSE (see Palatkonak and Sofianos, 1999) has also motivated a growing interest in the role that the U.S. stock exchanges play in finding out the efficient value of the international dually-listed stocks (e.g. Werner and Kleidon, 1996;Chan et al, 1996). This paper presents an empirical analysis that makes use of intra-daily data on a set of Spanish stocks traded as ADRs on the NYSE during the year 2000.…”

Section: Introductionmentioning

confidence: 99%

Cross-listing, price discovery and the informativeness of the trading process

Pascual¹,

Pascual-Fuster²,

Diranzo

2006

Journal of Financial Markets

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This paper analyzes the price discovery process of a set of Spanish stocks cross-listed at the NYSE. Our methodology distinguishes between two sources of information asymmetries. Market-specific information that is revealed through the trading process and public disclosures simultaneously revealed to both markets but subject to informed judgments. We compute the information share of the Spanish and U.S. trading activity during the daily 2-hour overlapping interval. Empirical results show that the NYSE contribution to the price discovery process is not negligible. But the NYSE information is basically trade-unrelated.

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“…The integration of the home and the international markets during the October 1987 market crash, as documented by Neumark et al (1991), also points to the influence of a common information shock. Chan et al (1996) rely on public information to explain the differential intraday volatility behaviors of European and Japanese dually listed stocks in New York and comparable U.S. stocks.…”

Section: Introductionmentioning

confidence: 99%

Where does price discovery occur for stocks traded in multiple markets? Evidence from Hong Kong and London

Agarwal¹,

Li²,

Rhee³

2007

Journal of International Money and Finance

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Using a sample of Hong Kong-listed stocks that are also traded on the London Stock Exchange, we document the following results: first, London market makers use Hong Kong's closing prices as the benchmark for setting the opening prices in London. Second, trading in the London market plays only a limited role in price discovery in the Hong Kong market. Third, the stock returns from London trading are closely correlated with those of the Hong Kong market. The above findings are consistent with the explanation that London trading is predominantly liquidity-driven but not information-driven.

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Information, Trading and Stock Returns: Lessons from Dually-Listed Securities

Cited by 49 publications

References 15 publications

Measuring financial market contagion using dually-traded stocks of Asian firms

Measuring financial market contagion using dually-traded stocks of Asian firms

Cross-listing, price discovery and the informativeness of the trading process

Where does price discovery occur for stocks traded in multiple markets? Evidence from Hong Kong and London

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