Information noise and stock return volatility: evidence from Germany

G. Geoffrey Booth and Mustafa Chowdhury

Applied Economics Letters, 1996, vol. 3, issue 8, 537-540

Abstract: Using data from the Frankfurt Stock Exchange, this paper investigates the impact of an increase in trading hours (from two to three on 15 January 1990) on the variance of stock returns. The results confirm those of most earlier studies that report that trading time volatility is significantly larger than non-trading time volatility. In addition, the results are consistent with the private and public information hypotheses with regard to stock return volatility, but they do not support the noise trading hypothesis.

Date: 1996
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DOI: 10.1080/135048596356195

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