Does More Market-Wide Information Originate While an Exchange is Open: Some Anomalous Evidence from the ASX

The common belief based on accumulated evidence from the US and Japan is that most price-relevant information originates while financial markets are in operation. In this paper, we present evidence from the Australian Stock Exchange (ASX) that contradicts this view. We find that a larger proportion of the information affecting the Australian equities in fact arrives during the overnight closing period of the ASX. We develop and implement tests to understand this puzzle. The results indicate that the primary source of this anomalous finding is the dominant influence of the information originating in the US, where businesses and exchanges open and close during the overnight period of the ASX.