Pricing errors at the NYSE open and close: Evidence from internationally cross-listed stocks

The variances of pricing errors (transitory changes in prices) at the NYSE open and the close are analyzed for U.S. stocks that are traded in London or Tokyo, British and Japanese stocks that are listed on the NYSE, and U.S. stocks that are not traded abroad. The variance of pricing errors is significantly greater at the open than at the close for U.S. stocks, but not foreign stocks. These differences are explained by differences in order how at the open and the close, a relation that is the same whether stocks are foreign or domestic and whether they trade abroad or not. (C) 1996 Academic Press, Inc.