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

Author

Listed:
  • 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)

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.

Suggested Citation

  • G. Mujtaba Mian & Christopher M. Adam, 2000. "Does More Market-Wide Information Originate While an Exchange is Open: Some Anomalous Evidence from the ASX," Australian Journal of Management, Australian School of Business, vol. 25(3), pages 339-352, December.
    • Handle: RePEc:sae:ausman:v:25:y:2000:i:3:p:339-352
    DOI: 10.1177/031289620002500306
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    References listed on IDEAS

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    Cited by:

    1. Sandoval, Leonidas, 2014. "To lag or not to lag? How to compare indices of stock markets that operate on different times," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 403(C), pages 227-243.
    2. Sandoval, Leonidas Junior, 2013. "To lag or not to lag? How to compare indices of stock markets that operate at different times," Insper Working Papers wpe_319, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.

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