Journal of Financial Economics Vol. 36 No. 1 1994
Information, trading, and volatility
open access
Abstract
We examine the effects of trading and information flows on the short-run behavior of stock prices by comparing the behavior of stock return volatility during trading and nontrading periods. We define nontrading periods as periods when exchanges and businesses are open but traders endogenously choose not to trade. After correcting for the bid/ask bounce and stickiness in quotes, we find that a large proportion of daily stock return volatility occurs without trades, especially for large firms. Furthermore, we provide new evidence that public (versus private) information is the major source of short-term return volatility.
- DOI
- 10.1016/0304-405x(94)90032-9
- Volume
- 36
- Issue
- 1
- Pages
- 127-154
- Language
- en
- Sources
- bibtex:phds-export.bib openalex crossref