Market efficiency around the clock some supporting evidence using foreign-based derivatives
检验国际市场价格信息是否被理性纳入股票价格，发现美国交易的日本日经指数期货完全反映了同期日本隔夜回报，且衍生品信息解释了美日股指回报的交叉依赖，质疑了基于非理性交易者的交易模型。
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.