Purpose: The purpose of this paper is to investigate the relationship between the share price volatility of Mediterranean banks and their dividend policies, with particular emphasis on the variation of results across sub-samples and the outcomes when omitting outlier observations....

Purpose – The main objective of this study is to obtain new empirical evidence on non-synchronous trading effects through modelling the predictability of market indices. Design/methodology/approach -The authors test for lead-lag effects between the Indian Nifty and Nifty Junior indices using...

Purpose -The purpose of this paper is to empirically investigate whether call auctions which batch orders for simultaneous execution, may restrain stock market volatility. Design/methodology/approach -The authors use high-frequency data to investigate volatility changes following the suspension...

We study the suspension of opening and closing call auctions by the National Stock Exchange of India in 1999. We compare volatility, efficiency and liquidity (VEL) of securities before and after suspension and estimate the value of the auctions using an event study. Following suspension, VEL...

Purpose – The purpose of this paper is to empirically investigate whether call auctions which batch orders for simultaneous execution, may restrain stock market volatility. Design/methodology/approach – The authors use high-frequency data to investigate volatility changes following the...

Purpose – The main objective of this study is to obtain new empirical evidence on non-synchronous trading effects through modelling the predictability of market indices. Design/methodology/approach – The authors test for lead-lag effects between the Indian Nifty and Nifty Junior indices...