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

Sumiyana, Sumiyana

doi:10.22146/gamaijb.5590

Jurnal SINTA 1

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

Sumiyana, Sumiyana^{Universitas Gadjah Mada}

Gadjah Mada International Journal of Business (GamaIJB) · Vol. 9 No. 3 (2007) · pp. 409–453

DOI: 10.22146/gamaijb.5590
ISSN: 2338-7238, 1411-1128
Published: 2007-09-12
Publisher: Master in Management, Faculty of Economics and Business, Universitas Gadjah Mada
Language: eng

Abstract

This study examined the behavior of stock price variability over trading and nontrading periods, and daily return volatility. This study 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 behavior of stock price variability and daily return volatility, according to previous theories, is influenced by the array of public and private information.This study concludes that return variance over trading and nontrading periods, along with overnight and lunch break nontrading session, and the first and second trading session, has differed significantly. In addition, daily return volatility is also not identical significantly. Subsequently, this study used size, trading volume, bid-ask spreads and up-down market as control variables. This study contradicts to all prior studies. 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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Universitas Gadjah Mada

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Co-author	Organisation	Joint articles
Jogiyanto Hartono	Universitas Gadjah Mada	1
Slamet Sugiri	Universitas Gadjah Mada	1
Zaki Baridwan	Universitas Gadjah Mada	1

Affiliations come from OpenAlex; journal OAI-PMH metadata carries none. Authors without an OpenAlex ID are matched by name, which can merge or split people.

Metadata source: OAI-PMH (metadata jurnal) https://journal.ugm.ac.id/gamaijb/oai, first harvested 28 Okt 2026, last seen 1 Nov 2026.

Original metadata (oai_dc)

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	<dc:title xml:lang="en-US">Behavior of Stock Price Variability over Trading and  Nontrading Periods, and  Daily Return Volatility</dc:title>
	<dc:creator>Sumiyana, Sumiyana</dc:creator>
	<dc:subject xml:lang="en-US">behavior; bid-ask spread; Levene’s F-test; intraday data; return; size; trading volume; up-down market; variability; volatility</dc:subject>
	<dc:description xml:lang="en-US">This study examined the behavior of stock price variability over trading and nontrading periods, and daily return volatility. This study 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 behavior of stock price variability and daily return volatility, according to previous theories, is influenced by the array of public and private information.This study concludes that return variance over trading and nontrading periods, along with overnight and lunch break nontrading session, and the first and second trading session, has differed significantly. In addition, daily return volatility is also not identical significantly. Subsequently, this study used size, trading volume, bid-ask spreads and up-down market as control variables. This study contradicts to all prior studies. 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. </dc:description>
	<dc:publisher xml:lang="en-US">Master in Management, Faculty of Economics and Business, Universitas Gadjah Mada</dc:publisher>
	<dc:date>2007-09-12</dc:date>
	<dc:type>info:eu-repo/semantics/article</dc:type>
	<dc:type>info:eu-repo/semantics/publishedVersion</dc:type>
	<dc:type xml:lang="en-US">Peer-reviewed Article</dc:type>
	<dc:format>application/pdf</dc:format>
	<dc:identifier>https://journal.ugm.ac.id/gamaijb/article/view/5590</dc:identifier>
	<dc:identifier>10.22146/gamaijb.5590</dc:identifier>
	<dc:source xml:lang="en-US">Gadjah Mada International Journal of Business; Vol 9, No 3 (2007): September - December; 409-453</dc:source>
	<dc:source>2338-7238</dc:source>
	<dc:source>1411-1128</dc:source>
	<dc:language>eng</dc:language>
	<dc:relation>https://journal.ugm.ac.id/gamaijb/article/view/5590/4561</dc:relation>
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