The empirical results show that stock returns are more volatile during exchange trading hours than during non - trading hours . french and roll consider three possible explanations for the observed variance pattern . ? high trading - time volatility is caused by public information which is more likely to be observed during normal business hours ; ? high trading - time volatility is caused by private information which is more likely to affect prices when the exchanges are open ; ? high trading - time volatility is caused by pricing errors that occur during trading 对于股票收益在交易时刻波动明显大于非交易时刻波动的现象， french与roll提出了三个可能的原因： ?在正常的工作日产生的公有信息导致高的交易时刻波动； ?私有信息导致高的交易时刻波动，并且只有在交易时刻影响价格； ?交易中产生的错误定价导致高的交易时刻波动。
