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Information noise and stock return volatility: evidence from Germany

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  • G. Geoffrey Booth
  • Mustafa Chowdhury

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.

Suggested Citation

  • G. Geoffrey Booth & Mustafa Chowdhury, 1996. "Information noise and stock return volatility: evidence from Germany," Applied Economics Letters, Taylor & Francis Journals, vol. 3(8), pages 537-540.
    • Handle: RePEc:taf:apeclt:v:3:y:1996:i:8:p:537-540
    DOI: 10.1080/135048596356195
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    Cited by:

    1. Geoffrey Booth, G. & Ciner, Cetin, 1997. "International transmission on information in corn futures markets," Journal of Multinational Financial Management, Elsevier, vol. 7(3), pages 175-187, October.
    2. Mahmoud Qadan & David Y. Aharon, 2019. "The length of the trading day and trading volume," Eurasian Business Review, Springer;Eurasia Business and Economics Society, vol. 9(2), pages 137-156, June.

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