search query: @author Richardson, M. / total: 15
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| Author: | Craig, A. Dravid, A. Richardson, M. |
| Title: | Market efficiency around the clock: some supporting evidence using foreign-based derivatives |
| Journal: | Journal of Financial Economics
1995 : OCT/NOV, VOL. 39:2&3, p. 161-180 |
| Index terms: | MARKET EFFICIENCY INFORMATION TRADE |
| Language: | eng |
| Abstract: | This paper examines whether information across international markets is rationally incorporated into stock prices. the authors find that Japanese Nikkei index-based futures traded in the U.S. provide complete information about contemporaneous overnight Japanese returns. Moreover, existing cross-dependence between the U.S. and Japanese stock index returns is subsumed by the information content of the derivative securities. These findings cast doubt on reading models based on irrational traders who either overreact or only partially adjust to movements in foreign stock markets. |
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