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Rev Fin 1990; 3:233-253
© 1990 the Society for Financial Studies

Article

Private information, trading volume, and stock-return variances

MJ Barclay1, RH Litzenberger2 and JB Warner3
1 University of Rochester, Rochester, USA
2 Wharton School, University of Pennsylvania, Pennsylvania, USA
3 University of Rochester, Rochester, USA

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.


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