Journal of Financial Economics Vol. 39 No. 2-3 1995
Market efficiency around the clock some supporting evidence using foreign-based derivatives
open access
Abstract
This paper examines whether information across international markets is rationally incorporated into stock prices. We find that Japanese Nikkei index-based futures traded in the U.S. provide complete information about contemporaneous overnight Japanese returns. Moreover, existing cross-dependence between the U.S. and Japanese stock index returns is subsumed by the information content of the derivative securities. Our findings cast doubt on trading models based on irrational traders who either overreact or only partially adjust to movements in foreign stock markets.
- DOI
- 10.1016/0304-405x(94)00822-i
- Volume
- 39
- Issue
- 2-3
- Pages
- 161-180
- Language
- en
- Sources
- bibtex:phds-export.bib openalex crossref