30‟,t Research Method X.

640 companies‟ trading data is divided into 12 intervals, and the formulation is as follows. Return interval γ0‘number -01 : R i,16.00t-1-09.30t = lnP i,09.30t P i,16.00t-1 Return interval γ0‘number -02 : R i,09.30t-10.00t = lnP i,10.00t P i,09.30t Return interval γ0‘ number -03 : R i,10.00t-10.30t = lnP i,10.30t P i,10.00t Return interval γ0‘ number -04 : R i,10.30t-11.00t = lnP i,11.00t P i,10.30t Return interval γ0‘ number -05 : R i,11.30t-11.00t = lnP i,11.30t P i,11.00t Return interval γ0‘ number -06 : R i,12.00t-11.30t = lnP i,12.00t P i,11.30t Return interval γ0‘ number -07 : R i,13.30t-13.00t = lnP i,13.30t P i,13.00t Return interval γ0‘ number -08 : R i,14.00t-13.30t = lnP i,14.00t P i,13.30t Return interval γ0‘ number -09 : R i,14.30t-14.00t = lnP i,14.30t P i,14.00t Return interval γ0‘ number -10 : R i,15.00t-14.30t = lnP i,15.00t P i,14.30t Return interval γ0‘ number -11 : R i,15.30t-15.00t = lnP i,15.30t P i,15.00t Return interval γ0‘ number -12 : R i,16.00t-15.30t = lnP i,16.00t P i,15.30t Trading Session and Return Trading session is not equal during each day. Trading is opened at 09.00 every day, but the first session is closed at 12.00 on Monday until Thursday, while on Friday the first session is closed at 11.30. the second session is opened at 13.30 on Monday until Thursday, while on Friday the second session is opened at 14.00. the second session is closed at 16.00 every day. Picture 1 shows trading day and trading period along with their relation with hypotheses examination in this research. ------------------------------------- Insert Picture 1 about here ------------------------------------- Data Analysis Data analysis was conducted analysis in the following procedural steps: 1. From intra-day data, 12 series of price was obtained that is price within 30 minutes interval. This 30 minutes interval price was used to calculate return. 2. Calculating return by R i,γ0‘,t =lnP i,γ0‘,t P i,γ0‘-1,t , which is return within minute interval from the first until twelfth. Opening return was calculated by lnP i,09.30t P i,16.00t-1 3. Forming 12 series of 30 minutes interval return from Monday until Friday to determine the sensitivity rate against noise and overreaction. The analysis in this examination is only focused to differentiate the return in one 30 minutes interval from other returns of 30 minutes interval. 4. Eliminating the days around dividend announcement under the reason to eliminate high price fluctuation H -3 and H +3 , and to make adjustment against stock dividend, stock split, bonus share and stock reserve split. 5. Identifying points related to OM: open morning; OEM: open early morning; CEM: close early morning; OMM: open mid morning; CMM: close mid morning; OLM: open late morning; CM: close morning; CLM: close late morning; OL: open lunch; CL: close lunch; OA: open afternoon; and CA: close afternoon. 6. Calculating C L V , O L V , C M V , O A V , O EM V , C EM V , O MM V , C MM V , O LM V , C LM V , C M V , C A V , O M V and O A V , which consecutively show variance during opening O: open, closing C: close, lunch break L: lunch, morning trading session M: morning, afternoon trading session A: afternoon, and the two digits letter begining with E, M dan L which represent early morning trading session E: early, mid morning trading session M: mid and late morning trading session L: late. 7. Examining all hypotheses according to applicable ratio