دانلود مقاله ISI انگلیسی شماره 13551
عنوان فارسی مقاله

اطلاعات شبانه و رفتار معاملات روزانه: شواهد از سهام فهرست شده متقابل NYSE و اطلاعات بازار محلی

کد مقاله سال انتشار مقاله انگلیسی ترجمه فارسی تعداد کلمات
13551 2000 15 صفحه PDF سفارش دهید محاسبه نشده
خرید مقاله
پس از پرداخت، فوراً می توانید مقاله را دانلود فرمایید.
عنوان انگلیسی
Overnight information and intraday trading behavior: evidence from NYSE cross-listed stocks and their local market information
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : Journal of Multinational Financial Management,, Volume 10, Issues 3–4, December 2000, Pages 495-509

کلمات کلیدی
نوسانات روزانه -      ساختار بازار -      تجارت چند بازار
پیش نمایش مقاله
پیش نمایش مقاله اطلاعات شبانه و رفتار معاملات روزانه: شواهد از سهام فهرست شده متقابل NYSE و اطلاعات بازار محلی

چکیده انگلیسی

In this paper we study how overnight price movements in local markets affect the trading activity of foreign stocks on the NYSE. We find that local price movements affect not only the opening returns of foreign stocks, but also their returns in the first 30-min interval. The magnitude of local price movements is positively related to price volatility of foreign stocks, and this relation is stronger at the NYSE open and weaker afterward. This result helps explain why intraday price volatility is high at the open and lower at midday. However, local price movements cannot account for intraday variations in trading volume. We also find that trading volume for foreign stocks is strongly correlated with NYSE opening price volatility and weakly correlated with local market overnight price volatility. We interpret the result as evidence that the trading activity of foreign stocks on the NYSE is related more to liquidity trading of US investors and less to local market information.

مقدمه انگلیسی

Extensive empirical evidence documents that the stock market is more active at the beginning of the trading session. Measures of market activity, such as trading volume, price volatility, and number of transactions, are higher at the open and close for NYSE stocks (Jain and Joh (1988), Foster and Viswanathan (1993), and Jang and Lee (1993)). Several studies conjecture that the higher market activity at the open is due to overnight information that accumulates during the NYSE nontrading period. For example, Berry and Howe (1994) document that the number of news announcements released by Reuter’s News Service increases at 8:00 am (EST)—one and a half hours before the NYSE open—indicating an increase in public information flow before the open. Foster and Viswanathan (1993) show that informed traders who gather private information during the nontrading period trade more aggressively after the open if they suspect their information will become public soon. Brock and Kleidon (1992) and Gerety and Mulherin (1992) argue that because of the new information that arrives during the nontrading period, the portfolio that is optimal during the previous close will no longer be optimal when the market reopens. Therefore, market activity increases immediately after the open as investors rebalance their portfolios. In light of the relation between market activity and information flow, many authors examine internationally cross-listed stocks and check whether their price behavior is different from that of non-cross-listed stocks, given their different information-flow patterns (Barclay et al., 1990, Kleidon and Werner, 1993, Chan et al., 1994, Choe, 1994 and Foster and George, 1994). Despite the intuitive appeal that the trading behavior of these cross-listed stocks in the morning is related to overnight information released in their local markets, none of these studies directly tests this possibility. In this paper we examine the intraday patterns of trading volume and price volatility for stocks traded on the NYSE and listed on Asia-Pacific and UK exchanges. We test whether these patterns are related to public information accumulated overnight. Unlike Berry and Howe (1994) who use the number of news articles released during the nontrading period, or other researchers who use close-to-open return volatility, we infer the overnight information flow of these cross-listed stocks directly from price movements in their local markets. Since most information generated during the NYSE nontrading period about these foreign stocks is reflected in local markets, local stock price movement is a good proxy for overnight information. If the market activity at the open is related to overnight information, we expect to find a positive relation between the level of market activity in the morning and the magnitude of local stock price movement. Furthermore, as information about these foreign stocks (both public and private) is more likely to arrive during the NYSE overnight period than during the trading period, market activity is greater in the morning than the mid-day. This suggests that once we control for the effect of overnight information (local stock price movements), intraday variations in market activity will be reduced. Unlike previous studies, we infer overnight information from the local price movement rather than from the NYSE opening returns. Although the local price movement and NYSE opening returns are closely related, they are not perfectly correlated, as the price in one market could move because of the trading activity there. Furthermore, local trading sessions for Asia-Pacific stocks are closed before the NYSE opens. Therefore, we examine how local price movements, which are public information to US investors, affect the trading activity of foreign stocks on US exchanges. We find that overnight price movements in local markets affect not only opening returns of foreign stocks, but also returns during the first 30 minutes. Also, the magnitude of local price movements is positively related to the price movement of foreign stocks in the morning. The relation is stronger around the open and weaker afterward. This diminishing effect of overnight information on intraday price movements helps explain why price volatility is higher at the open and lower at midday. On the other hand, local price movements cannot explain intraday variations in trading volume. This suggests that the trading volume of foreign stocks on the NYSE is not related to overnight public information. We also find that trading volume is strongly correlated with NYSE opening price movement and weakly correlated with local market price movement. We interpret this result as evidence that the trading activity of foreign stocks on the NYSE is related more to liquidity trading of US investors and less to local market information. The paper proceeds as follows. Section 2 discusses the relation between overnight information and intraday market activity. Section 3 describes the data and summary statistics. Section 4 presents empirical methodologies and results. Section 5 presents the conclusion.

نتیجه گیری انگلیسی

We examine trading volume and price volatility for foreign stocks traded on the NYSE. We find that local price movements affect not only opening returns of foreign stocks, but also returns in the first 30 min. This suggests that not all local market information is incorporated into opening prices. The magnitude of local price movements is positively related to price variability of foreign stocks, and this relation is stronger at the NYSE open and weaker afterward. This result helps explain why intraday price volatility is higher at the open and lower at midday. However, local price movements cannot account for intraday variations in trading volume. We also find that trading volume for foreign stocks is strongly correlated with the NYSE opening price volatility and weakly correlated with local market overnight price volatility. Therefore, our evidence suggests that the trading activity of foreign stocks is affected more by liquidity trading of US investors and less by local market information.

خرید مقاله
پس از پرداخت، فوراً می توانید مقاله را دانلود فرمایید.