Access the full text.
Sign up today, get DeepDyve free for 14 days.
C. Jones, Gautam Kaul, M. Lipson (1994)
Information, trading, and volatilityJournal of Financial Economics, 36
M. Forster, Thomas George (1996)
Pricing Errors at the NYSE Open and Close: Evidence from Internationally Cross-Listed Stocks☆Journal of Financial Intermediation, 5
Tavy Ronen (1997)
Tests and Properties of Variance Ratios in Microstructure StudiesJournal of Financial and Quantitative Analysis, 32
Joel Hasbrouck (1991)
Measuring the Information Content of Stock TradesJournal of Finance, 46
Thomas George, Gautam Kaul, M. Nimalendran (1991)
Estimation of the Bid-Ask Spread and Its Components: A New ApproachReview of Financial Studies, 4
K. French, Richard Roll (1986)
Stock return variances: The arrival of information and the reaction of tradersJournal of Financial Economics, 17
Charles Lee, M. Ready (1991)
Inferring Trade Direction from Intraday DataJournal of Finance, 46
(1981)
Information Flow and Pricing
Y. Amihud, H. Mendelson (1987)
Trading Mechanisms and Stock Returns: An Empirical InvestigationJournal of Finance, 42
P. Dhrymes (1978)
Mathematics for econometrics
Thomas Smith (1994)
Econometrics of Financial Models and Market Microstructure EffectsJournal of Financial and Quantitative Analysis, 29
George Tauchen (1992)
Stock Prices and VolumeReview of Financial Studies, 5
R. Huang, H. Stoll (1997)
The Components of the Bid-Ask Spread: A General Approach, Reviews of Financial StudiesThe Review of Financial Studies, 10(4)
L. Glosten, L. Harris (1988)
Estimating the components of the bid/ask spreadJournal of Financial Economics, 21
H. Stoll, R. Whaley (1990)
Stock Market Structure and VolatilityReview of Financial Studies, 3
A. Harvey, S. Koopman (1992)
Diagnostic Checking of Unobserved-Components Time Series ModelsJournal of Business & Economic Statistics, 10
Ananth Madhavan, M. Roomans (1996)
Why Do Security Prices Change? A Transaction-Level Analysis of Nyse StocksERN: Internal & External Contracting & Transaction Costs (Topic)
Ananth Madhavan (1992)
Trading Mechanisms in Securities MarketsJournal of Finance, 47
Joel Hasbrouck (1993)
Assessing the Quality of a Security Market: A New Approach to Transaction-Cost MeasurementReview of Financial Studies, 6
(1991)
Volatility and Trading : Evidence from the Japanese Stock Market
Thomas George, C. Hwang (1995)
Transitory Price Changes and Price-Limit Rules: Evidence from the Tokyo Stock ExchangeJournal of Financial and Quantitative Analysis, 30
H. Stoll (1989)
Inferring the Components of the Bid‐Ask Spread: Theory and Empirical TestsJournal of Finance, 44
M. Richardson, Thomas Smith (1994)
A Direct Test of the Mixture of Distributions Hypothesis: Measuring the Daily Flow of InformationJournal of Financial and Quantitative Analysis, 29
M. Forster, Thomas George (1995)
Trading hours, information flow, and international cross-listingInternational Review of Financial Analysis, 4
Joel Hasbrouck (1991)
The Summary Informativeness of Stock Trades: An Econometric AnalysisReview of Financial Studies, 4
Steve Beveridge, C. Nelson (1981)
A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the ‘business cycle’☆Journal of Monetary Economics, 7
Michael Barclay, R. Litzenberger, Jerold Warner (1990)
Private information, trading volume, and stock-return variancesReview of Financial Studies, 3
M. Watson (1986)
Univariate detrending methods with stochastic trendsJournal of Monetary Economics, 18
R. Roll (1984)
Orange Juice and WeatherThe American Economic Review, 74
L. Hansen (1982)
Large Sample Properties of Generalized Method of Moments EstimatorsEconometrica, 50
Chris Kirby (1998)
The Restrictions on Predictability Implied by Rational Asset Pricing ModelsReview of Financial Studies, 11
T. Andersen (1996)
Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic VolatilityJournal of Finance, 51
F. Foster, S. Viswanathan (1995)
Can Speculative Trading Explain the Volume–Volatility Relation?Journal of Business & Economic Statistics, 13
A. Harvey, E. Ruiz, Enrique Sentana (1992)
Unobserved component time series models with Arch disturbancesJournal of Econometrics, 52
Y. Amihud, H. Mendelson (1991)
Volatility, Efficiency, and Trading: Evidence from the Japanese Stock MarketJournal of Finance, 46
This study examines whether rates of information flow differ between trading and non-trading periods, and whether the variances of pricing errors differ at the open and close of trading. The approach improves on existing methods by allowing for correlation between pricing errors and information flow, and by conducting inferences at the individual security level. The daytime rate of information flow is about seven times the overnight rate, and the variances of pricing errors at the open are not different from those at the close of trading. This evidence differs from existing results based on return variance ratios.
The Review of Financial Studies – Oxford University Press
Published: Oct 22, 2001
Read and print from thousands of top scholarly journals.
Already have an account? Log in
Bookmark this article. You can see your Bookmarks on your DeepDyve Library.
To save an article, log in first, or sign up for a DeepDyve account if you don’t already have one.
Copy and paste the desired citation format or use the link below to download a file formatted for EndNote
Access the full text.
Sign up today, get DeepDyve free for 14 days.
All DeepDyve websites use cookies to improve your online experience. They were placed on your computer when you launched this website. You can change your cookie settings through your browser.