Impact of extended trading hours in market microstructure: evidence from the Kuala Lumpur stock exchange

• المؤلفون الرئيسيون: Gan, Seow Cheng, Lo, Sok Tsing, Lee, Seow Li
• مؤلفون آخرون: Tan Kok Hui
• التنسيق: Final Year Project
• اللغة: English
• منشور في: 2015
• الموضوعات: DRNTU::Business::Finance
• الوصول للمادة أونلاين: http://hdl.handle.net/10356/63960
• المؤسسة: Nanyang Technological University

This study investigates the impact of extended trading hours on market microstructures as measured by market volatility, trading volume, autocorrelation coefficients and the speed of price adjustment to new information. Based on the daily observations for the KLSE index from 28 January 1992 to...