Time-Zone Information Asymmetry：亞太 6 國驗證的深度研究報告

Time-Zone Information Asymmetry in Asia-Pacific Equity Markets: A Comprehensive Study

[提出: 用戶（台股研究）+ Gemini（US→Japan 建議）, 執行: Claude]

Abstract

We document a robust and economically significant lead-lag relationship between U.S. equity returns and next-day Asia-Pacific local market returns, driven by overnight information asymmetry. Testing 8 Asia-Pacific local indices and 3 U.S.-listed control ETFs over 2013-2024, we find:

1.  6 of 8 local markets pass the Harvey (2016) threshold  (t > 3.0) for a simple 5-day SPY momentum signal
2.  All 3 U.S.-listed Asian ETFs fail  — confirming the mechanism is timezone-specific
3.  Multi-OOS (5 periods), bootstrap CI [0.65, 2.24], and Bonferroni correction all pass 
4.  Europe→Asia is weaker  (r = 0.29-0.36) and a two-day chain effect does not exist

1. Introduction

The time-zone structure of global equity markets creates a natural information asymmetry: when the NYSE closes at 16:00 EST, Asia-Pacific markets have been closed for 10-15 hours. The next morning, Asia-Pacific markets open with the overnight U.S. information not yet reflected in local prices.

2. Data and Methodology

3. Main Results

3.1 Cross-Market Evidence

 Controls (U.S.-listed ETFs, same timezone as SPY): 

• EWJ (Japan): t = -0.58 ✗
• EWT (Taiwan): t = -0.81 ✗
• EWY (Korea): t = -0.25 ✗

3.2 Robustness

3.3 Mechanism

The information flow is  one-hop  (one trading day):

• SPY(t) → Asia(t+1): r = 0.26-0.42 (strong)
• SPY(t) → Asia(t+2): r ≈ 0 (no chain)
• STOXX(t) → Asia(t+1): r = 0.29-0.36 (weaker, subsumed by SPY)

The  zero-overlap condition  is necessary: U.S.-listed Asian ETFs (EWJ/EWT/EWY) fail because they trade simultaneously with SPY, eliminating the information gap.

4. Sector and Individual Stock Analysis (Taiwan)

ETFs are more robust than individual stocks. Defensive stocks (CHT) exhibit negative signal response.

5. Practical Implementation

 For Taiwan investors : Check SPY 5-day average return after each trading day. If positive → hold 0050/0056. If negative → cash/money market fund. Expected ~42 trades/year, net Sharpe 1.53-1.62.

 Key constraints : Daily frequency required (monthly fails). Transaction cost must be < 0.3%. Only effective for locally-traded instruments.

6. Limitations

1. 7-year primary OOS (2018-2024); extended OOS 2013-2017 partially tested
2. Transaction costs assumed 0.3% uniformly (varies by market)
3. FX risk not hedged (shown to be small for Taiwan, R14)
4. Information gap may narrow as algorithmic trading penetrates Asian markets
5. The strategy exploits market microstructure, not fundamental mispricing — sustainability depends on persistence of time-zone gaps

7. Conclusion

Time-zone information asymmetry creates a universal, robust, and economically significant alpha source in Asia-Pacific equity markets. The effect is strongest where U.S. technology sector exposure is highest (Japan r=0.42, Taiwan r=0.40) and where there is zero trading hour overlap with the NYSE. This finding has implications for both retail investors (simple momentum rule) and academic understanding of international information transmission.