文档介绍：Stock Market Structure and
Volatility
Hans R. Stoll
Vanderbilt University
Robert E. Whaley
Duke University
The procedure for opening stocks on the NYSE
appears to affect price volatility. An analytical
framework for assessing the magnitude of the
structurally induced volatility is presented. The
ratio of variance of open-to-open returns to close-
to-close returns is shown to be consistently greater
than one for mon stocks during the
period 1982 through 1986. The greater volatility at
the open is not attributable to the way in which
public information is released since both the open-
to-open return and the close-to-close return span
the same period of time. Instead, the greater vol-
atility appears to be attributable to private infor-
mation revealed in trading and to temporary price
deviations induced by specialist and other traders.
The implied cost of immediacy at the open is sig-
nificantly higher than at the close. Other empirical
.
evidence in this article documents the volume of
trading at the open, the time delays between the
exchange opening and the first transaction in a
stock, the difference in daytime volatility versus
overnight volatility, and the extent to which vola-
tility is related to trading volume.
The stock market crash of 1987 has focused increased
attention on the effect of market structure on the
This research was supported by The Research Foundation of the Institute
of Chartered Financial Analysts. Stoll acknowledges the support of the
Financial Markets Research Center and the Dean’s Fund for Faculty Research
behavior of securities prices. mendations such as trading halts,
the elimination of program trading, and trading bans of derivative
instruments have been put One suggestion that has received
considerable attention calls for “circuit breakers” that halt trading if
markets e excessively disrupted. However, a trading halt is
reasonable only if the procedure for