THE EFFECT OF AFTER-HOURS ANNOUNCEMENTS ON THE INTRADAY U-SHAPED VOLUME PATTERN

Trading volume surrounding announcements made after the New York Stock Exchange closes is examined and it is found that increased levels of trading before and after such announcements exists. These increases in volume magnify the U-shaped pattern of intraday trading volume by other researchers. Many theories that attempt to explain this U-shaped pattern attribute it to private information. The results support the hypothesis that a significant portion of the U-shaped pattern can be attributed to public announcements made after the stock market closes. Therefore, theories that attempt to explain the U-shaped pattern may be enhanced by including the effects of public announcements. The results also show that government contract announcements contain little new information and therefore affect stock volume by an insignificant amount.