Private Information, Trading Volume, and Stock-Return Variances

Michael J. Barclay; Robert H. Litzenberger; Jerold B. Warner

doi:10.1093/rfs/3.2.233

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Private Information, Trading Volume, and Stock-Return Variances

Michael J. Barclay¹; Robert H. Litzenberger²; Jerold B. Warner¹

¹ University of Rochester · ² University of Pennsylvania

Review of Financial Studies 1990

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.

DOI: 10.1093/rfs/3.2.233
Volume: 3 (2)
Pages: 233-253
Language: en
Export: BibTeX
Sources: openalex crossref