After-Hours Stock Prices and Post-Crash Hangovers



  • P. A. TINSLEY,


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    • The authors' current affiliations are, respectively: Department of Economics, University of Pennsylvania and the National Bureau of Economic Research; Division of Research and Statistics of the Federal Reserve Board, Washington, D.C.; and McKinsey and Co., Inc., New York. Valuable suggestions were made by the editor René Stulz and an anonymous referee. Views presented are those of the authors and do not necessarily represent those of the Federal Reserve Board or other members of its staff.


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.