INFORMATION, TRADING AND STOCK RETURNS - LESSONS FROM DUALLY-LISTED SECURITIES

This paper compares the intra-day patterns on the NYSE and AMEX of vol atility, trading volume and bid-ask spreads for European and Japanese dually-listed stocks with American stocks of comparable average tradin g volume and volatility. It is shown that the intra-day patterns for t hc;se stocks are remarkably similar even though public information flo ws differ markedly across these stocks during the trading day. In the early morning, all stocks have higher volatility than later in the day , but this phenomenon is most pronounced for Japanese stocks and affec ts American stocks the least. We argue that these patterns are consist ent with markets reacting to the overnight accumulation of public info rmation but are inconsistent with the view that early morning volatili ty can be attributed to monopolistic specialist behavior.