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

Camilleri, Silvio John (2008): Month-Related Seasonality of Stock Price Volatility: Evidence from the Malta Stock Exchange. Published in: Bank of Valletta Review , Vol. Spring, No. 37 (2008): pp. 49-65.

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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.

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