Intraday returns patterns of Malaysian common stock

This study examines the intraday return and risk behavior of Malaysian stock· prices. The volatility of the return is greater in the morning session for both period A and period B as measured by the standard deviation ratios. It is also obsenJed that the intraday standard deviations showed two disti...

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Main Authors:	Mohammed Zain Yusof, Fauzias Mat Nor, Othman Yong
Format:	Article
Language:	English
Published:	Penerbit Universiti Kebangsaan Malaysia 1995
Online Access:	http://journalarticle.ukm.my/7964/ http://journalarticle.ukm.my/7964/ http://journalarticle.ukm.my/7964/1/799-1526-1-SM.pdf

id	ukm-7964
recordtype	eprints
spelling	ukm-79642016-12-14T06:45:47Z http://journalarticle.ukm.my/7964/ Intraday returns patterns of Malaysian common stock Mohammed Zain Yusof, Fauzias Mat Nor, Othman Yong, This study examines the intraday return and risk behavior of Malaysian stock· prices. The volatility of the return is greater in the morning session for both period A and period B as measured by the standard deviation ratios. It is also obsenJed that the intraday standard deviations showed two distinct U-shaped curves for Period A (where trading started at 10. OOam and ended at 4.00pm) and also a U-shaped curve intraday for period B (where trading started at 9.30pm and ended at 5.00pm). The rank correlation which affects index return volatility is also observed. These observed volatility especially in the later period (period B) seems to be consistent with the rational trading noise hypothesis as proposed by Kyle (1985), where insider s private information is assimilated into prices by the end of the trading session. Penerbit Universiti Kebangsaan Malaysia 1995 Article PeerReviewed application/pdf en http://journalarticle.ukm.my/7964/1/799-1526-1-SM.pdf Mohammed Zain Yusof, and Fauzias Mat Nor, and Othman Yong, (1995) Intraday returns patterns of Malaysian common stock. Jurnal Pengurusan, 14 . pp. 43-58. ISSN 0127-2713 http://ejournals.ukm.my/pengurusan/issue/view/203
repository_type	Digital Repository
institution_category	Local University
institution	Universiti Kebangasaan Malaysia
building	UKM Institutional Repository
collection	Online Access
language	English
description	This study examines the intraday return and risk behavior of Malaysian stock· prices. The volatility of the return is greater in the morning session for both period A and period B as measured by the standard deviation ratios. It is also obsenJed that the intraday standard deviations showed two distinct U-shaped curves for Period A (where trading started at 10. OOam and ended at 4.00pm) and also a U-shaped curve intraday for period B (where trading started at 9.30pm and ended at 5.00pm). The rank correlation which affects index return volatility is also observed. These observed volatility especially in the later period (period B) seems to be consistent with the rational trading noise hypothesis as proposed by Kyle (1985), where insider s private information is assimilated into prices by the end of the trading session.
format	Article
author	Mohammed Zain Yusof, Fauzias Mat Nor, Othman Yong,
spellingShingle	Mohammed Zain Yusof, Fauzias Mat Nor, Othman Yong, Intraday returns patterns of Malaysian common stock
author_facet	Mohammed Zain Yusof, Fauzias Mat Nor, Othman Yong,
author_sort	Mohammed Zain Yusof,
title	Intraday returns patterns of Malaysian common stock
title_short	Intraday returns patterns of Malaysian common stock
title_full	Intraday returns patterns of Malaysian common stock
title_fullStr	Intraday returns patterns of Malaysian common stock
title_full_unstemmed	Intraday returns patterns of Malaysian common stock
title_sort	intraday returns patterns of malaysian common stock
publisher	Penerbit Universiti Kebangsaan Malaysia
publishDate	1995
url	http://journalarticle.ukm.my/7964/ http://journalarticle.ukm.my/7964/ http://journalarticle.ukm.my/7964/1/799-1526-1-SM.pdf
first_indexed	2023-09-18T19:51:06Z
last_indexed	2023-09-18T19:51:06Z
_version_	1777406225421434880

Intraday returns patterns of Malaysian common stock

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