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1、JournalofMultinationalFinancialManagement10(2000)495±509www.elsevier.com:locate:econbaseOvernightinformationandintradaytradingbehavior:evidencefromNYSEcross-listedstocksandtheirlocalmarketinformationKalokChana,MarkChockalingamb,KentW.L.Laic,*aDepartmentofFinance,HongKongUni6ersityofScie
2、nceandTechnology,HongKongbSchering-PloughHealthCare,Memphis,TN,USAcDepartmentofAccountingandFinance,LingnanUni6ersity,TuenMun,N.T.HongKongReceived15July1999;accepted4March2000AbstractInthispaperwestudyhowovernightpricemovementsinlocalmarketsaffectthetradingactivityofforeignstocksontheNY
3、SE.We®ndthatlocalpricemovementsaffectnotonlytheopeningreturnsofforeignstocks,butalsotheirreturnsinthe®rst30-mininterval.Themagnitudeoflocalpricemovementsispositivelyrelatedtopricevolatilityofforeignstocks,andthisrelationisstrongerattheNYSEopenandweakerafterward.Thisresulthelpsexplainwhy
4、intradaypricevolatilityishighattheopenandloweratmidday.However,localpricemovementscannotaccountforintradayvariationsintradingvolume.Wealso®ndthattradingvolumeforforeignstocksisstronglycorrelatedwithNYSEopeningpricevolatilityandweaklycorrelatedwithlocalmarketovernightpricevolatility.Wein
5、terprettheresultasevidencethatthetradingactivityofforeignstocksontheNYSEisrelatedmoretoliquiditytradingofUSinvestorsandlesstolocalmarketinformation.©2000ElsevierScienceB.V.Allrightsreserved.JELclassi®cation:G14InformationandMarketEf®ciency;G15InternationalFinancialMarketsKeywords:Intrad
6、ayvolatility;Marketmicrostructure;Multiple-markettrading*Correspondingauthor.Tel.:852-26168166;fax:852-24664751.E-mailaddress:kwlai@ln.edu.hk(K.W.L.Lai).1042-444X:00:$-seefrontmatter©2000ElsevierScienceB.V.Allrightsreserved.PII:S1042-444X(00)00030-X496K.Chanetal.:J.ofMulti.Fin.Manag.1
7、0(2000)495±5091.IntroductionExtensiveempiricalevidencedocumentsthatthestockmarketismoreactiveatthebeginningofthetradingsession.Measuresofmarketactivity,suchastradingvolume,pricevolatility,andnumberoftransactions,arehigherattheopenandcloseforNYSEstocks(JainandJoh(1988),Fosterand
