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- W1937295658 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 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. ABSTRAK Kertas ini mengkaji gelagat pulangan dan risiko intra harian harga-harga saham di Malaysia. Kemudahubahan pulangan adalah lebih tinggi di sessi pagi bagi kedua-dua jangkawaktu A dan B mengikut ukuran kadar sisihan piawai. Didapati juga sisihan piawai intra harian menunjukkan 2 kelok berbentuk-U yang ketara bagi jangkawaktu A (dimana urusniaga bermula dari jam 10.00 pagi dan berakhir padajam 4.00 petang) dan juga satu kelok berbentuk-U bagi jangka waktu B (dimana urusniaga bermula pada jam 9.30 pagi dan tamat jam 5.00 petang). Juga diperhatikan terdapat korelasi taraf yang memberi kesan ke atas kemudahubahan pulangan. Kemudahubahan jangka waktu diperhatikan terutamanya jangka waktu B yang nampaknya tekal dengon hipotesis gangguan urusniaga rasional sebagaimana dianjurkan oleh Kyle (1985), di mana maklumat dalaman diterapkan ke dalam harga pada akhir sessi urusniaga." @default.
- W1937295658 created "2016-06-24" @default.
- W1937295658 date "1995-01-01" @default.
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- W1937295658 title "Intraday Returns Patterns of Malaysian Common Stock" @default.
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- W1937295658 doi "https://doi.org/10.17576/pengurusan-1995-14-03" @default.
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