Private information, trading volume, and stock-return variances

New evidence is provided on the determinants of stock-returnvariances. 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 listingof U.S. stocks in Tokyo substantially increases the number oftrading hours, but Tokyo volume is negligible for these U.S.stocks and their 24-hour variance is unaffected. The overallresults are consistent with the predictions of private-information-basedrational trading models, but inconsistent with both the irrationaltrading noise and public-information hypotheses.