If your query is returning data to display in your local SSMS then this data needs to be transferred from the server to your local SSMS. The time to transfer the data from the server to your local SSMS is included in the execution time. So, the execution time is a combination of executing the script and fetching the data in order to display it.
You might want to "Include Client Statistics" and then review the row "Bytes received from server" in the "Client Statistic" tab of the result window.
In order to verify my assumption you can alter your select only to execute without fetching the data.
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