Information, Trading, and Volatility: Evidence from Weather‐Sensitive Markets
研究发现天气敏感市场的交易与非交易时段方差比率低于股票市场但高于外汇市场，且在价格对天气最敏感的时期该比率更低；相关商品的收益和波动在天气敏感季节联动性更强，主要源于非交易时段联动增强，支持价格与公共信息流紧密关联。
ABSTRACT We find that trading‐ versus nontrading‐period variance ratios in weather‐sensitive markets are lower than those in the equity market and higher than those in the currency market. The variance ratios are also substantially lower during periods of the year when prices are most sensitive to the weather. Moreover, the comovement of returns and volatilities for related commodities is stronger during the weather‐sensitive season, largely due to stronger comovement during nontrading periods. These results are consistent with a strong link between prices and public information flow and cannot be explained by pricing errors or changes in trading activity.