Does More Market-Wide Information Originate While an Exchange is Open: Some Anomalous Evidence from the ASX

G. Mujtaba Mian and Christopher M. Adam
Additional contact information
G. Mujtaba Mian: Department of Finance and Accounting. National University of Singapore, 10 Kent Ridge Crescent. Singapore 119260.
Christopher M. Adam: Australian Graduate School of Management, UNSW Sydney, NSW 2052

Australian Journal of Management, 2000, vol. 25, issue 3, 339-352

Abstract: The common belief based on accumulated evidence from the US and Japan is that most price-relevant information originates while financial markets are in operation. In this paper, we present evidence from the Australian Stock Exchange (ASX) that contradicts this view. We find that a larger proportion of the information affecting the Australian equities in fact arrives during the overnight closing period of the ASX. We develop and implement tests to understand this puzzle. The results indicate that the primary source of this anomalous finding is the dominant influence of the information originating in the US, where businesses and exchanges open and close during the overnight period of the ASX.

Keywords: RETURN VOLATILITY; VARIANCE RATIOS; ASX INDEX RETURNS (search for similar items in EconPapers)
Date: 2000
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://journals.sagepub.com/doi/10.1177/031289620002500306 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:sae:ausman:v:25:y:2000:i:3:p:339-352

DOI: 10.1177/031289620002500306

Access Statistics for this article

More articles in Australian Journal of Management from Australian School of Business
Bibliographic data for series maintained by SAGE Publications ().