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Please use this identifier to cite or link to this item: https://www.um.edu.mt/library/oar/handle/123456789/17650
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dc.date.accessioned2017-03-21T08:38:05Z-
dc.date.available2017-03-21T08:38:05Z-
dc.date.issued2008-
dc.identifier.citationCamilleri, S. J. (2008). Month-related seasonality of stock price volatility: evidence from the Malta Stock Exchange. Bank of Valletta Review, 37, 49-65.en_GB
dc.identifier.urihttps://www.um.edu.mt/library/oar//handle/123456789/17650-
dc.description.abstractThis 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.en_GB
dc.language.isoenen_GB
dc.publisherBank of Vallettaen_GB
dc.rightsinfo:eu-repo/semantics/openAccessen_GB
dc.subjectStock exchanges -- Maltaen_GB
dc.subjectOptions (Finance) -- Maltaen_GB
dc.subjectStocks -- Prices -- Malta -- Charts, diagrams, etc.en_GB
dc.subjectMalta Stock Exchange (Valletta, Malta)-
dc.titleMonth-related seasonality of stock price volatility : evidence from the Malta Stock Exchangeen_GB
dc.typearticleen_GB
dc.rights.holderThe copyright of this work belongs to the author(s)/publisher. The rights of this work are as defined by the appropriate Copyright Legislation or as modified by any successive legislation. Users may access this work and can make use of the information contained in accordance with the Copyright Legislation provided that the author must be properly acknowledged. Further distribution or reproduction in any format is prohibited without the prior permission of the copyright holder.en_GB
dc.description.reviewedN/Aen_GB
dc.contributor.creatorCamilleri, Silvio John-
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