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

Camilleri, Silvio John

Download This Paper

Open PDF in Browser

Add Paper to My Library

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

Bank of Valletta Review, Vol. 37, pp. 49-65, Spring 2008

17 Pages Posted: 25 Jul 2009 Last revised: 17 Mar 2017

See all articles by Silvio John Camilleri

Silvio John Camilleri

University of Malta - Department of Banking and Finance - FEMA

Date Written: July 23, 2008

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

JEL Classification: G1, G14

Suggested Citation: Suggested Citation

Camilleri, Silvio John, Month-Related Seasonality of Stock Price Volatility: Evidence from the Malta Stock Exchange (July 23, 2008). Bank of Valletta Review, Vol. 37, pp. 49-65, Spring 2008, Available at SSRN: https://ssrn.com/abstract=1438030