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| Author: | Forster, M. George, T. |
| Title: | Trading hours, information flow and international cross-listing |
| Journal: | International Review of Financial Analysis
1995 : VOL. 4:1, p. 19-34 |
| Index terms: | TRADING HOURS INFORMATION PRICE LEVEL |
| Language: | eng |
| Abstract: | This paper analyzes the volatility of information-related price changes of internationally cross-listed stocks. Among stocks with identical overall listings, the rate of information flow into the prices of japanese and British stocks during the same hours is significantly less than that of U.S. stocks during NYSE trading hours. The rate of information flow into prices when the NYSE is closed is greater for U.S. stocks cross-listed in Tokyo than for non-cross-listed U.S. stocks, but not for U.S. stocks cross-listed in London. |
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