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Do stock markets lead or lag macroeconomic variables? : evidence from select European countries

Camilleri, Silvio John; Scicluna, Nicolanne; Bai, Ye - In: The North American journal of economics and finance : a … 48 (2019), pp. 170-186

Persistent link: https://www.econbiz.de/10012120227

Younger customers' outlooks when selecting and changing a financial services provider : the case of Maltese students

Camilleri, Silvio John; Ellul, Denise - In: International journal of financial research 8 (2017) 2, pp. 51-63

Persistent link: https://www.econbiz.de/10011779436

Stock market predictability: Non-synchronous trading or inefficient markets? Evidence from the national stock exchange of India

Camilleri, Silvio John; Green, Christopher J - In: Studies in Economics and Finance 31 (2014), pp. 354-370

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...

Persistent link: https://www.econbiz.de/10010939325

The Impact of Stock Market Structure on Volatility: Evidence from a Call Auction Suspension

Camilleri, Silvio John - Volkswirtschaftliche Fakultät, … - 2015

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...

Persistent link: https://www.econbiz.de/10011211859

The Impact of Stock Market Structure on Volatility: Evidence from a Call Auction Suspension

Camilleri, Silvio John - In: International Journal of Financial Research 6 (2015) 2, pp. 44-53

Persistent link: https://www.econbiz.de/10011267660

The impact of the suspension of opening and closing call auctions : evidence from the National Stock Exchange of India

Camilleri, Silvio John; Green, Christopher J. - In: International journal of banking, accounting and finance 1 (2008) 3, pp. 257-284

Persistent link: https://www.econbiz.de/10009888602

The Impact of the Suspension of Opening and Closing Call

Camilleri, Silvio John; Green, Christopher J. - EconWPA - 2005

The paper analyses the impact of 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....

Persistent link: https://www.econbiz.de/10005134759

The impact of the suspension of opening and closing call auctions: evidence from the National Stock Exchange of India

Camilleri, Silvio John; Green, Christopher J. - In: International Journal of Banking, Accounting and Finance 1 (2009) 3, pp. 257-284

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...

Persistent link: https://www.econbiz.de/10005048853

An Analysis of the Impacts of Non-Synchronous Trading On

Camilleri, Silvio John; Green, Christopher J. - EconWPA - 2005

The serial correlation effects which non-synchronous trading can induce in financial data have been documented by various researchers. In this paper we investigate non-synchronous trading effects in terms of the predictability that may be induced in the values of stock indices. This analysis is...

Persistent link: https://www.econbiz.de/10005413096

The Impact of the Suspension of Opening and Closing Call

Camilleri, Silvio John; Green, Christopher J. - EconWPA - 2004

A hotly debated issue in the market microstructure literature is the effectiveness of call auctions as against continuous trading systems. In this paper we investigate this issue by studying the impact of the suspension of opening and closing call auctions by the National Stock Exchange of India...

Persistent link: https://www.econbiz.de/10005413175