Behavior of Stock Price Variability Over Trading and Nontrading Periods, and Daily Return Volatility  

Oleh:

Sumiyana

Jenis: Article from Journal - ilmiah nasional - tidak terakreditasi DIKTI
Dalam koleksi: International Journal of Business vol. 9 no. 3 (Sep. 2007), page 409-453.
Topik: Behaviour; Bid-ask Spread; Levence's F-test; Intraday Data; Return; Size; Trading Volume; Up-Down Market; Variability; Volality

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: II51.6 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

This study examined the behaviour of stock price variability over trading and non trading periods, and daily return volality. This syudy used intraday data in Indonesia Stock Exchange. Sample was taken from the firms listed in LQ 45 indexes for the year of 1999-2006. The behaviour of stock price variability and daily return volatility, according to previous theories, is inluenced by the array of public and private information. This study concludes that return variance over trading and nontrading session, and the first and second trading sessionm, has differed significantly. In addition, daily return volatility is also not indentical significantly. Subsequently, this study especially suggests contra evidence in comparisons with previous concepts and theories in regards to size, trading volume, bid-ask spreads, and up-down market as control variables.

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