Barclay, Michael J; Litzenberger, Robert H; Warner, Jerold B - In: Review of Financial Studies 3 (1990) 2, pp. 233-53
New evidence is provided on the determinants of stock-return variances. 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 listing of U.S. stocks in Tokyo...