Title: Information, Trading and Stock Returns: Lessons from Dually-Listed Securities
Abstract: This paper compares the intra-day patterns on the NYSE and AMEX of volatility, trading volume and bid-ask spreads for European dually-listed stocks, Japanese dually-listed stocks also listed in London.and Japanese dually-listed stocks not listed in London with American stocks of comparable avenge wading volume and volatility.It is shown that the inira-day patterns for these stocks axe remarkably similar even though the public information flows differ markedly across these stocks during the wading day.In the morning.Japanese stocks have the greatest volatility and volume, followed by European stocks and American stocks.These rankings are reversed in the afternoon.We argue that these patterns are consistent with markets reacting to the overnight accumulation of public infonnation which is greatest for Japanese stock and smallest for American stocks and inconsistent with the view that early morning volatility can be attributed to monopolistic specialist behavior.