INFORMATION, TRADING, AND VOLATILITY

• 成果类型: Article
• 署名作者: JONES, CM; KAUL, G; LIPSON, ML
• 署名单位: University of Michigan System; University of Michigan
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/0304-405X(94)90032-9
• 发表日期: 1994
• 页码: 127-154
• 关键词: information; TRADING; RETURN VOLATILITY; Market microstructure

摘要

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.