Journal of Financial Economics
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Опубликовано на портале: 25-10-2007
Kenneth R. French, Richard Roll
Journal of Financial Economics.
1986.
Vol. 17.
No. 1.
P. 5-26.
Asset prices are much more volatile during exchange trading hours than during non-trading
hours. This paper considers three explanations for this phenomenon:
(1) volatility is caused by public information which is more likely to arrive
during normal business hours;
(2) volatility is caused by private information which affects prices when informed
investors trade; and
(3) volatility is caused by pricing errors that occur during trading. Although
a significant fraction of the daily variance is caused by mispricing, the behavior
of returns around exchange holidays suggests that private information is the principle
factor behind high trading-time variances.
