Abstract
This paper analyzes the volatility of information-related price changes of internationally cross-listed stocks. Among stocks with identical overall listings, the rate of information flow into the prices of Japanese and British stocks during the same hours is significantly less than that of U.S. stocks during NYSE trading hours. The rate of information flow into prices when the NYSE is closed is greater for U.S. stocks cross-listed in Tokyo than for non-cross-listed U.S. stocks, but not for U.S. stocks cross-listed in London. Also, the rate of information flow into the prices of foreign stocks during NYSE trading hours increases as their NYSE volume increases. These results are consistent with the hypotheses that (a) information flows into prices at a greater rate when a stock's primary market is open than when it is closed, even if offshore trading opportunities are available; and (b) foreign trading does facilitate price discovery if there is sufficient trading activity in the foreign market.
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