Alex Tabarrok wrote: > 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.
Couldn't we interpret this as trading *creating* information, which is then transmitted?
