Month-Related Seasonality of Stock Price Volatility: Evidence from the Malta Stock Exchange

Silvio Camilleri ()

MPRA Paper from University Library of Munich, Germany

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.

Keywords: Malta Stock Exchange; News Announcements; Monthly Seasonality; Volatility (search for similar items in EconPapers)
JEL-codes: G10 G14 (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (3)

Published in Bank of Valletta Review 37.Spring(2008): pp. 49-65

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:62493

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