Abstract
The variance of New York stock index returns measured from the close of Friday trading to the open on Monday was more than three times higher when the Tokyo stock market was open on the intervening Saturday than the variance when the Tokyo market was closed on Saturday. The variance of Tokyo returns from the close of Friday trading to the open on Monday was over thirty seven times greater when the Tokyo market traded on Saturday. This suggests that private information revealed through trading in Tokyo not only raises volatility there, but also increases volatility in New York.
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