Robin Hanson wrote: > > 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?
What's the value of this "created" information? In other words, what sort of information could be created solely by trading that we would still want incorporated into market prices? i.e. does this trading information help the market to achieve efficiency? It's difficult to come up with a story where this is true. Markets are supposed to reveal information that is already out there. 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]
