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.
Keywords
Stock (firearms)Variance (accounting)Private information retrievalStock exchangePublic informationListing (finance)EconometricsEconomicsIrrational numberFinancial economicsBusinessStatisticsFinanceMathematicsAccountingComputer scienceGeography
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Publication Info
- Year
- 1990
- Type
- article
- Volume
- 3
- Issue
- 2
- Pages
- 233-253
- Citations
- 353
- Access
- Closed
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Cite This
Michael J. Barclay,
Robert H. Litzenberger,
Jerold B. Warner
(1990).
Private Information, Trading Volume, and Stock-Return Variances.
Review of Financial Studies
, 3
(2)
, 233-253.
https://doi.org/10.1093/rfs/3.2.233
Identifiers
- DOI
- 10.1093/rfs/3.2.233