Title: Private Information, Trading Volume, and Stock-Return Variances
Abstract: New evidence is provided on the determinants of stock-return variances. First, when the Tokyo Stock Exchange is open on Saturday, the weekend variance increases; weekly variance is unaffected, however, despite an increase in weekly volume. Second, the listing of U.S. stocks in Tokyo substantially increases the number of trading hours, but Tokyo volume is negligible for these U.S. stocks and their 24-hour variance is unaffected. The overall results are consistent with the predictions of private-information-based rational trading models, but inconsistent with both the irrational trading noise and public-information hypotheses.
Publication Year: 1990
Publication Date: 1990-04-01
Language: en
Type: article
Indexed In: ['crossref']
Access and Citation
Cited By Count: 359
AI Researcher Chatbot
Get quick answers to your questions about the article from our AI researcher chatbot