Market Microstructure and Private Information: A Study on National Stock Exchange of India

This paper is an attempt to examine the impact of changes in market microstructure on stock return variances during exchange trading and nontrading hours for a sample of stocks listed in National Stock Exchange of India. The study has found that daytime return variance is higher than overnight return variance and opening return variance is higher than closing return variance. First order autocorrelations in opening returns have shown small but significant negative autocorrelations for more companies whereas closing returns have shown significant positive autocorrelation for few companies. Speed of adjustment estimated from opening returns has shown a tendency towards overreaction whereas closing returns have shown a tendency towards under reaction.