Yes, in 1968 the exchange closed on Wednesday's in order to deal with backlog. French and Roll (1986) find that variance of stock returns on days when the market is closed is much lower than on days when the market is open which suggests that trading itself, rather than say information transmission, generates variance.
See French, Kenneth and Richard Roll. 1986. Stock Price Variances: The Arrival of Information and the Reaction of Traders, Journal of Financial Economics, 17, September, pp. 5-26. Alex -- Dr. Alexander Tabarrok Vice President and Director of Research The Independent Institute 100 Swan Way Oakland, CA, 94621-1428 Tel. 510-632-1366, FAX: 510-568-6040 Email: [EMAIL PROTECTED]
