After‐Hours Stock Prices and Post‐Crash Hangovers
研究1987年10月崩盘后美国股票在外国市场的盘后定价效率，发现初期能预测纽约价格但随后失效，而纽约价格变化始终被东京和伦敦市场有效吸收，表明交易成本和波动率变化影响理性投资者行为。
ABSTRACT After‐hours pricing in foreign equity markets of multiple‐listed U.S. securities appeared to be efficient in predicting New York prices in the weeks immediately following the October 1987 crash but relatively uninformative in succeeding months. By contrast, daily changes in New York prices appear to be efficiently incorporated in after‐hours trading on both the Tokyo and London exchanges throughout the sample period. This paper suggests that the asymmetry and temporal variations in cross‐market correlations are consistent with rational investor behavior in equity markets with nonzero transaction costs and time‐varying share price volatility.