Please use this identifier to cite or link to this item:
https://www.um.edu.mt/library/oar/handle/123456789/17650| Title: | Month-related seasonality of stock price volatility : evidence from the Malta Stock Exchange |
| Authors: | Camilleri, Silvio John |
| Keywords: | Stock exchanges -- Malta Options (Finance) -- Malta Stocks -- Prices -- Malta -- Charts, diagrams, etc. Malta Stock Exchange (Valletta, Malta) |
| Issue Date: | 2008 |
| Publisher: | Bank of Valletta |
| Citation: | Camilleri, S. J. (2008). Month-related seasonality of stock price volatility: evidence from the Malta Stock Exchange. Bank of Valletta Review, 37, 49-65. |
| Abstract: | This study applies different statistical tests to investigate whether monthly volatility patterns prevailing on a cross section of stock markets are present on the Malta Stock Exchange. A January effect is detected, together with a variant of the Turn-Of-The-Month effect, in that volatility tends to increase towards the end of the month. Whilst these effects may be attributed to sources identified in previous literature, it is also shown that this seasonality is related to announcement patterns of listed companies. |
| URI: | https://www.um.edu.mt/library/oar//handle/123456789/17650 |
| Appears in Collections: | Scholarly Works - FacEMABF |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| Published Paper.pdf | Main article | 721.89 kB | Adobe PDF | View/Open |
Items in OAR@UM are protected by copyright, with all rights reserved, unless otherwise indicated.