The variances of pricing errors (transitory changes in prices) at the NYSE open and the close are analyzed for U.S. stocks that are traded in London or Tokyo, British and Japanese stocks that are listed on the NYSE, and U.S. stocks that are not traded abroad. The variance of pricing errors is significantly greater at the open than at the close for U.S. stocks, but not foreign stocks. These differences are explained by differences in order flow at the open and the close, a relation that is the same whether stocks are foreign or domestic and whether they trade abroad or notJournal of Economic LiteratureClassification Numbers: G10, D23.

We analyze how the anonymous trading of uninformed agents affects the characterization of security market equilibrium. We show that the degree of anonymity provided by a market alters the distribution of wealth across agents, the depth of the market, and the incentive agents have to acquire private information about a security's fundamental value. Moreover, the nature of these effects depends on the type of information about uninformed trading that is revealed to market participants. Our results have implications for sunshine trading, dual trading, brokerage relationships, automation and decentralization of markets, and firms' security listing choices. G10, L10.