INFORMATION NOISE AND STOCK RETURN VOLATILITY - EVIDENCE FROM GERMANY

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