MARKET-EFFICIENCY AROUND THE CLOCK - SOME SUPPORTING EVIDENCE USING FOREIGN-BASED DERIVATIVES

• 成果类型: Article
• 署名作者: CRAIG, A; DRAVID, A; RICHARDSON, M
• 署名单位: University of Pennsylvania; New York University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/0304-405X(94)00822-I
• 发表日期: 1995
• 页码: 161-180
• 关键词: Market efficiency; derivatives; INFORMATION BOW; trading hours

摘要

This paper examines whether information across international markets is rationally incorporated into stock prices, We 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. Our findings cast doubt on trading models based on irrational traders who either overreact or only partially adjust to movements in foreign stock markets.