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...

The purpose of this paper is to investigate the volatility impacts of the suspension of a call auction system by the National Stock Exchange of India (NSE) in June 1999, thus extending prior empirical work relating to this area. The realised volatility on NSE is compared with that of the Bombay...

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...

This paper investigates the diversification prospects which may be reaped when investing in a mixture of emerging and developed market assets. Given that emerging markets are somewhat distinct from developed ones, one may expect significant diversification potential and therefore risk reduction....

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...

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...