Intraday return, volatility and optimal time to invest in Malaysia stock market

This study examining whether two distinct U-shape patterns exist in Malaysia stock market and what is the optimal time to invest in Malaysia market, study period from 2 January 2020 to 30 June 2020. The average return for KLSE Composite Index formed a U-shape pattern in the morning session and inver...

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Bibliographic Details
Main Author: Lai, Poh Poh
Format: Thesis
Language:eng
eng
eng
eng
Published: 2020
Subjects:
Online Access:https://etd.uum.edu.my/10347/1/deposittpermission-not%20allow_s823600.pdf
https://etd.uum.edu.my/10347/2/s823600_01.pdf
https://etd.uum.edu.my/10347/3/s823600_02.pdf
https://etd.uum.edu.my/10347/4/references_s823600.docx
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Summary:This study examining whether two distinct U-shape patterns exist in Malaysia stock market and what is the optimal time to invest in Malaysia market, study period from 2 January 2020 to 30 June 2020. The average return for KLSE Composite Index formed a U-shape pattern in the morning session and inverted U in the afternoon session. However, these shape does not exist in the individual stocks. While study the intraday volatility, it is observed there are two distinct U-shape patterns appeared in the Malaysia stock market but regression not able to reinforce the presence of the pattern. Similarly, volatility for individual stocks shown a L shape pattern. Lastly, optimal time to invest in the stock is constructed. The optimal time suggested can help the investor in making their investment decision