Overnight information and intraday trading behavior: evidence from NYSE cross-listed stocks and their local market information

Author:

Chan Kalok,Chockalingam Mark,Lai Kent W.L

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference30 articles.

1. Trading Mechanisms and Stock Returns: An Empirical Investigation;Amihud;Journal of Finance,1987

2. Volatility and Trading: Evidence from the Japanese Stock Market;Amihud;Journal of Finance,1991

3. Private Information, Trading Volume, and Stock-Return Variances;Barclay;Review of Financial Studies,1990

4. Public Information Arrival;Berry;Journal of Finance,1994

5. Periodic Market Closure and Trading Volume: A Model of Intraday Bids and Asks;Brock;Journal of Economic Dynamics and Control,1992

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