A NOTE ON THE TRANSMISSION OF PUBLIC INFORMATION ACROSS INTERNATIONAL STOCK MARKETS

Previous studies have established that public information cannot explain the decrease in return volatility during the closing of a stock exchange. The present study shows that the failure of the public information hypothesis in explaining the trading/nontrading volatility differential is merely a domestic phenomenon. The manifestation of public information in an international setting is very different. Specifically, the absence of price information due to the closing of the US market affects both volatility and trading volume in the Canadian market.