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Chan, Chockalingam And Lai-Overnight Information And Intraday Trading Behavior – Evidence From Nyse Cross

Chan, Chockalingam And Lai-Overnight Information And Intraday Trading Behavior – Evidence From Nyse Cross
Chan, Chockalingam And Lai-Overnight Information And Intraday Trading Behavior – Evidence From Nyse Cross

In this paper we study how overnight price movements in local markets affect the trading activity of foreign stocks on the NYSE. We find that local price movements affect not only the opening returns of foreign stocks, but also their returns in the first 30-min interval. The magnitude of local price movements is positively related […]

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Chan, Chockalingam And Lai-Overnight Information And Intraday Trading Behavior - Evidence From Nyse Cross

In this paper we study how overnight price movements in local markets affect the trading activity of foreign stocks on the NYSE. We find that local price movements affect not only the opening returns of foreign stocks, but also their returns in the first 30-min interval. The magnitude of local price movements is positively related to price volatility of foreign stocks, and this relation is stronger at the NYSE open and weaker afterward. This result helpsexplain why intraday price volatility is high at the open and lower at midday. However, local  price movements cannot account for intraday variations in trading volume. We also find that trading volume for foreign stocks is strongly correlated with NYSE opening price volatility and weakly correlated with local market overnight price volatility. We interpret the result as evidence that the trading activity of foreign stocks on the NYSE is related more to liquiditytrading of US investors and less to local market information. © 2000 Elsevier Science B.V. All rights reserved.

   

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  • عنوان مقاله : ...Chan, Chockalingam And Lai-Overnight Information
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