This research studies private information from extreme price movements or jumps. The authors calculate the private information using a reduced form model from the stochastic volatility jump process and use several statistical robustness tests as well as several frequencies to improve our consistency. This study reveals that private information is significant in explain the existence of jumps in capital markets in Southeast Asia, whereas macroeconomic events cannot explain them. The authors determine empirically that private information in Malaysia, Singapore, Thailand, and Indonesia are not persistent and its value gradually decreases when we use the lower frequency. Based on the Fama–Macbeth regression, this study shows that private information in the capital market has a strong positive relationship with individual returns in Indonesia’s capital market and Thailand’s capital market for all frequencies.