The Relationship between Stock Returns and Trading Hours: Evidence from Amman Stock Exchange
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Published:2018-08-08
Issue:3.21
Volume:7
Page:89
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ISSN:2227-524X
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Container-title:International Journal of Engineering & Technology
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language:
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Short-container-title:IJET
Author:
Kharabsheh Buthiena,Hani Megdadi Mahera,Abu-ulbeh Waheeb
Abstract
This study investigates the relationship between stock returns and trading hours for 22 shares listed on Amman Stock Exchange (ASE). We analyze the hourly trading data for the period Dec.2005 to Dec.2006. The two trading hours in ASE were split into four periods; first half of the first hour (10:00-10:30), second half of the first hour (10:30-11:00), first half of the second hour (11:00-11:30), and second half of the second hour (11:30-12:00). Using the Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model, our results reveal that the hourly trading time significantly affects stock returns.
Publisher
Science Publishing Corporation
Subject
Hardware and Architecture,General Engineering,General Chemical Engineering,Environmental Engineering,Computer Science (miscellaneous),Biotechnology
Cited by
1 articles.
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