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https://www.um.edu.mt/library/oar/handle/123456789/17650
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DC Field | Value | Language |
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dc.date.accessioned | 2017-03-21T08:38:05Z | - |
dc.date.available | 2017-03-21T08:38:05Z | - |
dc.date.issued | 2008 | - |
dc.identifier.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. | en_GB |
dc.identifier.uri | https://www.um.edu.mt/library/oar//handle/123456789/17650 | - |
dc.description.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. | en_GB |
dc.language.iso | en | en_GB |
dc.publisher | Bank of Valletta | en_GB |
dc.rights | info:eu-repo/semantics/openAccess | en_GB |
dc.subject | Stock exchanges -- Malta | en_GB |
dc.subject | Options (Finance) -- Malta | en_GB |
dc.subject | Stocks -- Prices -- Malta -- Charts, diagrams, etc. | en_GB |
dc.subject | Malta Stock Exchange (Valletta, Malta) | - |
dc.title | Month-related seasonality of stock price volatility : evidence from the Malta Stock Exchange | en_GB |
dc.type | article | en_GB |
dc.rights.holder | The 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.reviewed | N/A | en_GB |
dc.contributor.creator | Camilleri, Silvio John | - |
Appears in Collections: | Scholarly Works - FacEMABF |
Files in This Item:
File | Description | Size | Format | |
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Published Paper.pdf | Main article | 721.89 kB | Adobe PDF | View/Open |
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