Intraday Returns Patterns of Malaysian Common Stock

Department of Finance
Faculty of Bussiness of Management
Universiti Kebangsaan Malaysia
43600 UKM Bangi, Selangor Darul Ehsan
Malaysia


Department of Finance
Faculty of Bussiness of Management
Universiti Kebangsaan Malaysia
43600 UKM Bangi, Selangor Darul Ehsan
Malaysia


Department of Finance
Faculty of Bussiness of Management
Universiti Kebangsaan Malaysia
43600 UKM Bangi, Selangor Darul Ehsan
Malaysia


Abstract

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 observed that the intraday standard deviations showed two distinct U-shaped curves for Period A (where trading started at 10.00 am 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.

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Citation

Yusof, M. Z., Mat Nor, F., & Yong, O. (1995). Intraday Returns Patterns of Malaysian Common Stock. Jurnal Pengurusan, 14, 43–58.

@article{yusof1995intraday,
  title={Intraday Returns Patterns of Malaysian Common Stock},
  author={Yusof, Mohammed Zain and Mat Nor, Fauzias and Yong, Othman},
  journal={Jurnal Pengurusan},
 

volume={14},
  number={},
  pages={43—58},
  year={1995},
  doi={},
  publisher={Penerbit UKM},
}

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14 (1995) 43 – 58

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