Silvio John Camilleri | University of Malta (original) (raw)

Papers by Silvio John Camilleri

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

Social Science Research Network, Mar 17, 2014

The purpose of this paper is to investigate the volatility impacts of the suspension of a call au... more 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 Stock Exchange using two volatility proxies: modulus of log returns and scaled intra-day price difference. We also focus on conditional volatility by estimating an AGARCH model on seasonallyadjusted NSE Nifty Index data. Whilst some results yield contrasting inferences, the overall outcomes indicate that volatility was higher during the auction period, and we do not find any evidence that supports the foreseen benefits of auction frameworks. Results reinforce the idea that market designers should think about the possible interactions with subsidiary market microstructure features when formulating auction protocols, since the latter may compromise auction efficacy.

Research paper thumbnail of The Impact of the Suspension of Opening and Closing Call

The Finance, 2004

We study the suspension of opening and closing call auctions by the National Stock Exchange of In... more 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 improved and the CARs were significant but not uniformly positive or negative. Less liquid stocks traded less in the auctions than other securities, especially at the opening and they experienced an increase in value following suspension. This is consistent with there being liquidity externalities associated with auctions. We conclude that opening and closing call auctions may not necessarily improve share trading in a less liquid emerging market.

Research paper thumbnail of Emerging stock market microstructure: empirical studies of the National Stock Exchange of India

This thesis adopts an empirical approach to examine various market microstructure issues, using d... more This thesis adopts an empirical approach to examine various market microstructure issues, using data from the National Stock Exchange of India (NSE). Whilst the respective empirical analyses may be considered as self-contained investigations, they are primarily linked through the common objective of understanding the mechanics of the pricing process as it occurs on actual markets, using the NSE as exemplar. The first major focus of the dissertation is non-synchronous trading: empirical evidence of nonsynchronicity is obtained by testing for predictability as between indices of different levels of liquidity. A simple test of the analysis of trading-break returns is proposed to infer whether predictability may be mainly attributable to non-synchronous trading or whether it constitutes a delayed adjustment of traders' expectations. The second question tackled in the thesis is whether volatility on the NSE may be considered as justified or excessive. Rather than adopting the established methodology of comparing stock price changes to information about expected dividends, the research question is split up into two subsidiary ones. The first question is whether volatility is related to information flows, whilst the second related question concerns the relationship between volatility and returns. Three sources of excessive volatility are pinpointed. Monday effects are found in index data but not in the underlying stocksindicating index fluctuations which are not information-related. A second indicator of excessive price movements is the pronounced volatility which coincides with the fiscal year end of quoted companies but which is not accompanied by a similar increase in long-term returns. A third indication of unjustified price fluctuations is that volatility seems unrelated to returns when considering a long-term time series. The third topic of the thesis relates to the efficacy of opening and closing call auctions. This issue may be considered as the crux of the dissertation and it is tackled by analysing the effects of the suspension of a call auction system on NSE. Changes in volatility, efficiency and liquidity following the suspension are analysed, and an event study is presented. The relationship between call auctions and long-term volatility is also investigated. The findings suggest that the expected benefits of call auctions may not always materialise, possibly due to an inappropriately structured auction, or because a liquidity threshold for stocks must be surpassed for the expected benefits to accrue.

Research paper thumbnail of Do Stock Markets Lead or Lag Macroeconomic Variables? Evidence from Select European Countries

Social Science Research Network, 2018

This study examines the connections between stock prices and key macroeconomic indicators: inflat... more This study examines the connections between stock prices and key macroeconomic indicators: inflation, industrial production, interest rates, money supply and select interactions between the latter group of variables. Such links are evaluated through vectorautoregressions (VARs) on monthly data spanning over the period 1999-2017, for Belgium, France, Germany, Netherlands and Portugal. We check whether such relations are confirmed across different sub-periods and also adopt a non-parametric approach by using a Pesaran-Timmermann test. We find different contemporaneous and lead-lag relationships between stock prices and the selected variables, although there are variations across countries. VAR models indicate that stock prices significantly lead inflation across all countries during the sample period and in most cases this relationship was positive. In addition, stock prices significantly lead industrial production in four of the sampled countries and these relationships were positive as well. Contrary to long-established finance theories, we did not find numerous significant links between interest rates and stock indices; however the interaction between interest rates and money supply was a leading indicator of stock prices in France, Germany and Portugal.

Research paper thumbnail of Do call auctions curtail price volatility? Evidence from the National Stock Exchange of India

MPRA Paper, 2015

This paper empirically investigates whether call auctions which batch orders for simultaneous exe... more This paper empirically investigates whether call auctions which batch orders for simultaneous execution, may restrain stock market volatility. Design / Methodology / Approach We use high frequency data to investigate volatility changes following the suspension of opening and closing call auctions on the National Stock Exchange of India in June 1999. We evaluate this issue by considering both modelled and realised volatility. Using a GARCH approach we model intra-day volatility for the trading days preceding and succeeding the auction suspension. We also scrutinise return distributions to look for volatility changes during different parts of the day. Findings When interpreted collectively, our empirical results suggest that the auction suspension was followed by reduced volatility particularly in the middle of the trading day and at the closing. Practical implications Given that auctions are often incorporated in trading systems with the aim of curtailing volatility, our main conclusion, that the auction suspension was followed by lower volatility, has important practical inferences. Auctions cannot be automatically relied on to reduce volatility. The intricacies of the auction protocol and their interaction with ancillary market microstructure features may impact on auction efficacy. Originality / value The paper adopts a novel approach towards assessing the effectiveness of call auctions by considering an unusual occurrence of an auction suspension. The empirical setting enables a clear comparison of the respective regimes since the auction and the post-suspension period do not materially differ in other subsidiary aspects. This is a noteworthy factor, since the empirical contexts considered in prior studies, often feature several simultaneous changes.

Research paper thumbnail of Securities markets activity in emerging economies : an overview of the main issues

Research paper thumbnail of Can a Stock Index be Less Efficient than Underlying Shares? An Analysis Using Malta Stock Exchange Data

Social Science Research Network, 2005

Researchers often assume that stock market indices are the best possible yardstick in terms of ma... more Researchers often assume that stock market indices are the best possible yardstick in terms of market efficiency. The paper investigates this concept using data from the Malta Stock Exchange (MSE). The fact that a significant number of MSE shares do not trade everyday, may imply that the most liquid shares on this exchange are more efficient than the market index, whose value is dependent on shares of varying liquidity levels-including the less liquid ones. The paper applies various tests to compare the pricing efficiency of the MSE Index to that of the most liquid share quoted on the exchange. It is found that the MSE Index is still more efficient than the latter share.

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

International Journal of Financial Research, Mar 8, 2015

The purpose of this paper is to investigate the volatility impacts of the suspension of a call au... more 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 Stock Exchange using two volatility proxies: modulus of log returns and scaled intra-day price difference. We also focus on conditional volatility by estimating an AGARCH model on seasonally-adjusted NSE Nifty Index data. Whilst some results yield contrasting inferences, the overall outcomes indicate that volatility was higher during the auction period, and we do not find any evidence that supports the foreseen benefits of auction frameworks. Results reinforce the idea that market designers should think about the possible interactions with subsidiary market microstructure features when formulating auction protocols, since the latter may compromise auction efficacy.

Research paper thumbnail of The Risk-Adjusted Performance of Alternative Investment Funds and UCITS: A Comparative Analysis

International journal of economics and finance, May 28, 2018

This study evaluates the performance of a selection of Alternative Investment Funds (AIFs), and U... more This study evaluates the performance of a selection of Alternative Investment Funds (AIFs), and Undertakings for Collective Investment in Transferable Securities Funds (UCITS) which followed a global geographic focus strategy during the period 2010-2016. These two fund structures are governed by different regulatory frameworks, which have evolved and reshaped over the years. Various yardsticks are employed to evaluate the risk-adjusted performance of the sampled funds, and Monte-Carlo simulations are used to gauge the possible out-of-sample returns. Most of the sampled funds underperformed the benchmark index in terms of their Sharpe and Treynor ratios. Whilst UCITS registered a better overall performance, AIFs outperformed UCITS towards the end of the sample period. This suggests that investors should not assume that one fund structure is inherently superior to the other, since the relative performance may vary over time.

Research paper thumbnail of An Analysis of the Impacts of Non-Synchronous Trading On Predictability: Evidence from the National Stock Exchange, India

Social Science Research Network, 2004

The serial correlation effects which non-synchronous trading can induce in financial data have be... more 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 applied to emerging-market data, on the grounds that such markets might be less liquid and thus prone to a higher degree of non-synchronous trading. We use both a daily data set and a higher frequency one, since the latter is a prerequisite for capturing intra-day variations in trading activity. When considering one-minute interval data, we obtain clear evidence of predictability between indices with different degrees of non-synchronous trading. We then propose a simple test to infer whether such predictability is mainly attributable to nonsynchronous trading or an actual delayed adjustment on part of traders. The results obtained from an intra-day analysis suggest that the former cause seems a better explanation for the observed predictability. Future research in this area is needed to shed light on the degree of data predictability which may be exclusively attributed to non-synchronous trading, and how empirical results may be influenced by the chosen data frequency.

Research paper thumbnail of The Relevance of Short Sales to the Maltese Stock Market

Social Science Research Network, 2003

The paper discusses the possible effects of short sales on the operation of a very small stock ma... more The paper discusses the possible effects of short sales on the operation of a very small stock market such as the Maltese one. After studying the basic mechanics of short selling procedures, the paper reviews the salient literature with particular reference to how short sales may enhance informational efficiency and their relationship with liquidity. The paper proceeds by examining these relationships in the context of the Maltese securities market. The study reveals that short sales may be desirable on the Maltese stock market for enhancing price efficiency and liquidity, yet a more formal framework for conducting such transactions is required. In addition, short positions may be particularly risky in the context of the Maltese stock market, due to low liquidity levels.

Research paper thumbnail of The determinants of securities trading activity: evidence from four European equity markets

Journal of capital markets studies, Jul 8, 2019

Purpose-The purpose of this paper is to obtain new empirical evidence about the connections betwe... more Purpose-The purpose of this paper is to obtain new empirical evidence about the connections between equity trading activity and five possible liquidity determinants: market capitalisation, dividend yield, earnings yield, company growth and the distinction between recently listed firms as opposed to more established ones. Design/methodology/approach-The authors use a sample of 172 stocks from four European markets and estimate models using the entire sample data and different sub-samples to check the relative importance of the above determinants. The authors also conduct a factor analysis to reclassify the variables into a more succinct framework. Findings-The evidence suggests that market capitalisation is the most important trading activity determinant, and the number of years listed ranks thereafter. Research limitations/implications-The positive relation between trading activity and market capitalisation is in line with prior literature, while the findings relating to the other determinants offer further empirical evidence which is a worthy addition in view of the contradictory results in prior research. Practical implications-This study is of relevance to practitioners who would like to understand the cross-sectional variation in stock liquidity at a more detailed level. Originality/value-The originality of the paper rests on two important grounds: the authors focus on trading turnover rather than on other liquidity proxies, since the former is accepted as an important determinant of the liquidity-generation process, and the authors adopt a rigorous approach towards checking the robustness of the results by considering various sub-sample configurations.

Research paper thumbnail of Strategic Priorities for Stock Exchanges in New EU Member States

RePEc: Research Papers in Economics, 2006

This ttudy discUSUf ,~ strategic priorilie~ (nuJ d,atl .. ltg~J for IUI{,j,iu euM"g~S in "" .

Research paper thumbnail of An Analysis of the Profitability, Risk and Growth Indicators of Banks Operating in Malta

Research paper thumbnail of An analysis of stock index distributions of selected emerging markets

RePEc: Research Papers in Economics, 2006

Stock market data tends to display distinct characteristics commonly known as "stylized facts". T... more Stock market data tends to display distinct characteristics commonly known as "stylized facts". These include non-stationarity of price levels, as well as peak-shaped, fat-tailed and heteroskedastic log returns. This paper presents empirical evidence of these characteristics for emerging market indices, spanning over different geographic regions. The results do not disclose asymmetry in the tails of log return distributions in any particular direction. In addition, it is not confirmed that high volatility tends to follow large negative returns.

Research paper thumbnail of The impact of the suspension of opening and closing call auctions: Evidence from the National Stock Exchange of India

RePEc: Research Papers in Economics, 2009

We study the impact of the suspension of opening and closing call auctions by the National Stock ... more We study 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. Following suspension, VEL improved and the CARs were significant but not uniformly positive or negative. Also, less liquid stocks traded less in the auctions than other securities, especially at the opening, and they experienced gains following suspension. This is consistent with there being liquidity externalities associated with auctions, as appears to be the case in some industrial countries. We conclude that opening and closing call auctions may not necessarily improve share trading in a less liquid emerging market.

Research paper thumbnail of Strategic priorities for EU accession country securities exchanges

The presentation outlined the strategic priorities for securities exchanges in EU accession count... more The presentation outlined the strategic priorities for securities exchanges in EU accession countries, with a special reference to the Malta Stock Exchange (MSE). Most of the EU accession country exchanges were set up only recently in conjunction with government privatisation programmes. These exchanges are typically small and witness modest levels of liquidity. On the other hand these exchanges typically use modern electronic trading systems which give them a competitive edge over other institutions. MSE is one of the smallest exchanges in EU accession countries and turnover is heavily dependent on three major equity issues. EU accession country exchanges have to address five interrelated strategic priorities as outlined below. 1 Internationalization The internationalisation process resulting from deregulation and technological improvements has lead companies to market their securities to foreign investors, commonly by issuing Depository Receipts. The main concern for accession country exchanges is that business may be diverted away ______________________________________________________________________________________ These comments were published as follows:

Research paper thumbnail of Muzika u arti ohra : programs 1-18

This series of programs is about music of different genres some of which are tied to a particular... more This series of programs is about music of different genres some of which are tied to a particular country. The programs include contributions from guests that talk about various artistic topics. Produced and presented by Dr Silvio J. Camilleri.

Research paper thumbnail of The Impact of the Suspension of Opening and Closing Call

RePEc: Research Papers in Economics, Nov 8, 2004

We study the suspension of opening and closing call auctions by the National Stock Exchange of In... more 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 improved and the CARs were significant but not uniformly positive or negative. Less liquid stocks traded less in the auctions than other securities, especially at the opening and they experienced an increase in value following suspension. This is consistent with there being liquidity externalities associated with auctions. We conclude that opening and closing call auctions may not necessarily improve share trading in a less liquid emerging market.

Research paper thumbnail of The Diversification Potential Offered by Emerging Markets in Recent Years

RePEc: Research Papers in Economics, 2009

This paper investigates the diversification prospects which may be reaped when investing in a mix... more 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. Yet, the latter may be counterbalanced by the fact that emerging markets usually present higher risks when considered on their own; for instance higher price volatility and fluctuating liquidity. We use a panel data set spanning over a 10 year period and form a number of portfolios. We find that over the sample period, emerging market assets could be combined into efficient portfolios when assessed in terms of risk and return. By contrast, portfolios involving developed market assets tended to be inefficient. We also investigate whether emerging markets have converged to developed ones over the past years. When analysing co-movements between indices, the correlation values suggest that emerging markets have offered diversification potential. However we also find evidence of features which make it more challenging to reap the expected risk reduction benefits. The latter factors are the tendency for emerging markets to exhibit a higher individual variability, and the trend for markets to move more in line with each other as suggested by convergence literature.

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

Social Science Research Network, Mar 17, 2014

The purpose of this paper is to investigate the volatility impacts of the suspension of a call au... more 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 Stock Exchange using two volatility proxies: modulus of log returns and scaled intra-day price difference. We also focus on conditional volatility by estimating an AGARCH model on seasonallyadjusted NSE Nifty Index data. Whilst some results yield contrasting inferences, the overall outcomes indicate that volatility was higher during the auction period, and we do not find any evidence that supports the foreseen benefits of auction frameworks. Results reinforce the idea that market designers should think about the possible interactions with subsidiary market microstructure features when formulating auction protocols, since the latter may compromise auction efficacy.

Research paper thumbnail of The Impact of the Suspension of Opening and Closing Call

The Finance, 2004

We study the suspension of opening and closing call auctions by the National Stock Exchange of In... more 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 improved and the CARs were significant but not uniformly positive or negative. Less liquid stocks traded less in the auctions than other securities, especially at the opening and they experienced an increase in value following suspension. This is consistent with there being liquidity externalities associated with auctions. We conclude that opening and closing call auctions may not necessarily improve share trading in a less liquid emerging market.

Research paper thumbnail of Emerging stock market microstructure: empirical studies of the National Stock Exchange of India

This thesis adopts an empirical approach to examine various market microstructure issues, using d... more This thesis adopts an empirical approach to examine various market microstructure issues, using data from the National Stock Exchange of India (NSE). Whilst the respective empirical analyses may be considered as self-contained investigations, they are primarily linked through the common objective of understanding the mechanics of the pricing process as it occurs on actual markets, using the NSE as exemplar. The first major focus of the dissertation is non-synchronous trading: empirical evidence of nonsynchronicity is obtained by testing for predictability as between indices of different levels of liquidity. A simple test of the analysis of trading-break returns is proposed to infer whether predictability may be mainly attributable to non-synchronous trading or whether it constitutes a delayed adjustment of traders' expectations. The second question tackled in the thesis is whether volatility on the NSE may be considered as justified or excessive. Rather than adopting the established methodology of comparing stock price changes to information about expected dividends, the research question is split up into two subsidiary ones. The first question is whether volatility is related to information flows, whilst the second related question concerns the relationship between volatility and returns. Three sources of excessive volatility are pinpointed. Monday effects are found in index data but not in the underlying stocksindicating index fluctuations which are not information-related. A second indicator of excessive price movements is the pronounced volatility which coincides with the fiscal year end of quoted companies but which is not accompanied by a similar increase in long-term returns. A third indication of unjustified price fluctuations is that volatility seems unrelated to returns when considering a long-term time series. The third topic of the thesis relates to the efficacy of opening and closing call auctions. This issue may be considered as the crux of the dissertation and it is tackled by analysing the effects of the suspension of a call auction system on NSE. Changes in volatility, efficiency and liquidity following the suspension are analysed, and an event study is presented. The relationship between call auctions and long-term volatility is also investigated. The findings suggest that the expected benefits of call auctions may not always materialise, possibly due to an inappropriately structured auction, or because a liquidity threshold for stocks must be surpassed for the expected benefits to accrue.

Research paper thumbnail of Do Stock Markets Lead or Lag Macroeconomic Variables? Evidence from Select European Countries

Social Science Research Network, 2018

This study examines the connections between stock prices and key macroeconomic indicators: inflat... more This study examines the connections between stock prices and key macroeconomic indicators: inflation, industrial production, interest rates, money supply and select interactions between the latter group of variables. Such links are evaluated through vectorautoregressions (VARs) on monthly data spanning over the period 1999-2017, for Belgium, France, Germany, Netherlands and Portugal. We check whether such relations are confirmed across different sub-periods and also adopt a non-parametric approach by using a Pesaran-Timmermann test. We find different contemporaneous and lead-lag relationships between stock prices and the selected variables, although there are variations across countries. VAR models indicate that stock prices significantly lead inflation across all countries during the sample period and in most cases this relationship was positive. In addition, stock prices significantly lead industrial production in four of the sampled countries and these relationships were positive as well. Contrary to long-established finance theories, we did not find numerous significant links between interest rates and stock indices; however the interaction between interest rates and money supply was a leading indicator of stock prices in France, Germany and Portugal.

Research paper thumbnail of Do call auctions curtail price volatility? Evidence from the National Stock Exchange of India

MPRA Paper, 2015

This paper empirically investigates whether call auctions which batch orders for simultaneous exe... more This paper empirically investigates whether call auctions which batch orders for simultaneous execution, may restrain stock market volatility. Design / Methodology / Approach We use high frequency data to investigate volatility changes following the suspension of opening and closing call auctions on the National Stock Exchange of India in June 1999. We evaluate this issue by considering both modelled and realised volatility. Using a GARCH approach we model intra-day volatility for the trading days preceding and succeeding the auction suspension. We also scrutinise return distributions to look for volatility changes during different parts of the day. Findings When interpreted collectively, our empirical results suggest that the auction suspension was followed by reduced volatility particularly in the middle of the trading day and at the closing. Practical implications Given that auctions are often incorporated in trading systems with the aim of curtailing volatility, our main conclusion, that the auction suspension was followed by lower volatility, has important practical inferences. Auctions cannot be automatically relied on to reduce volatility. The intricacies of the auction protocol and their interaction with ancillary market microstructure features may impact on auction efficacy. Originality / value The paper adopts a novel approach towards assessing the effectiveness of call auctions by considering an unusual occurrence of an auction suspension. The empirical setting enables a clear comparison of the respective regimes since the auction and the post-suspension period do not materially differ in other subsidiary aspects. This is a noteworthy factor, since the empirical contexts considered in prior studies, often feature several simultaneous changes.

Research paper thumbnail of Securities markets activity in emerging economies : an overview of the main issues

Research paper thumbnail of Can a Stock Index be Less Efficient than Underlying Shares? An Analysis Using Malta Stock Exchange Data

Social Science Research Network, 2005

Researchers often assume that stock market indices are the best possible yardstick in terms of ma... more Researchers often assume that stock market indices are the best possible yardstick in terms of market efficiency. The paper investigates this concept using data from the Malta Stock Exchange (MSE). The fact that a significant number of MSE shares do not trade everyday, may imply that the most liquid shares on this exchange are more efficient than the market index, whose value is dependent on shares of varying liquidity levels-including the less liquid ones. The paper applies various tests to compare the pricing efficiency of the MSE Index to that of the most liquid share quoted on the exchange. It is found that the MSE Index is still more efficient than the latter share.

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

International Journal of Financial Research, Mar 8, 2015

The purpose of this paper is to investigate the volatility impacts of the suspension of a call au... more 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 Stock Exchange using two volatility proxies: modulus of log returns and scaled intra-day price difference. We also focus on conditional volatility by estimating an AGARCH model on seasonally-adjusted NSE Nifty Index data. Whilst some results yield contrasting inferences, the overall outcomes indicate that volatility was higher during the auction period, and we do not find any evidence that supports the foreseen benefits of auction frameworks. Results reinforce the idea that market designers should think about the possible interactions with subsidiary market microstructure features when formulating auction protocols, since the latter may compromise auction efficacy.

Research paper thumbnail of The Risk-Adjusted Performance of Alternative Investment Funds and UCITS: A Comparative Analysis

International journal of economics and finance, May 28, 2018

This study evaluates the performance of a selection of Alternative Investment Funds (AIFs), and U... more This study evaluates the performance of a selection of Alternative Investment Funds (AIFs), and Undertakings for Collective Investment in Transferable Securities Funds (UCITS) which followed a global geographic focus strategy during the period 2010-2016. These two fund structures are governed by different regulatory frameworks, which have evolved and reshaped over the years. Various yardsticks are employed to evaluate the risk-adjusted performance of the sampled funds, and Monte-Carlo simulations are used to gauge the possible out-of-sample returns. Most of the sampled funds underperformed the benchmark index in terms of their Sharpe and Treynor ratios. Whilst UCITS registered a better overall performance, AIFs outperformed UCITS towards the end of the sample period. This suggests that investors should not assume that one fund structure is inherently superior to the other, since the relative performance may vary over time.

Research paper thumbnail of An Analysis of the Impacts of Non-Synchronous Trading On Predictability: Evidence from the National Stock Exchange, India

Social Science Research Network, 2004

The serial correlation effects which non-synchronous trading can induce in financial data have be... more 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 applied to emerging-market data, on the grounds that such markets might be less liquid and thus prone to a higher degree of non-synchronous trading. We use both a daily data set and a higher frequency one, since the latter is a prerequisite for capturing intra-day variations in trading activity. When considering one-minute interval data, we obtain clear evidence of predictability between indices with different degrees of non-synchronous trading. We then propose a simple test to infer whether such predictability is mainly attributable to nonsynchronous trading or an actual delayed adjustment on part of traders. The results obtained from an intra-day analysis suggest that the former cause seems a better explanation for the observed predictability. Future research in this area is needed to shed light on the degree of data predictability which may be exclusively attributed to non-synchronous trading, and how empirical results may be influenced by the chosen data frequency.

Research paper thumbnail of The Relevance of Short Sales to the Maltese Stock Market

Social Science Research Network, 2003

The paper discusses the possible effects of short sales on the operation of a very small stock ma... more The paper discusses the possible effects of short sales on the operation of a very small stock market such as the Maltese one. After studying the basic mechanics of short selling procedures, the paper reviews the salient literature with particular reference to how short sales may enhance informational efficiency and their relationship with liquidity. The paper proceeds by examining these relationships in the context of the Maltese securities market. The study reveals that short sales may be desirable on the Maltese stock market for enhancing price efficiency and liquidity, yet a more formal framework for conducting such transactions is required. In addition, short positions may be particularly risky in the context of the Maltese stock market, due to low liquidity levels.

Research paper thumbnail of The determinants of securities trading activity: evidence from four European equity markets

Journal of capital markets studies, Jul 8, 2019

Purpose-The purpose of this paper is to obtain new empirical evidence about the connections betwe... more Purpose-The purpose of this paper is to obtain new empirical evidence about the connections between equity trading activity and five possible liquidity determinants: market capitalisation, dividend yield, earnings yield, company growth and the distinction between recently listed firms as opposed to more established ones. Design/methodology/approach-The authors use a sample of 172 stocks from four European markets and estimate models using the entire sample data and different sub-samples to check the relative importance of the above determinants. The authors also conduct a factor analysis to reclassify the variables into a more succinct framework. Findings-The evidence suggests that market capitalisation is the most important trading activity determinant, and the number of years listed ranks thereafter. Research limitations/implications-The positive relation between trading activity and market capitalisation is in line with prior literature, while the findings relating to the other determinants offer further empirical evidence which is a worthy addition in view of the contradictory results in prior research. Practical implications-This study is of relevance to practitioners who would like to understand the cross-sectional variation in stock liquidity at a more detailed level. Originality/value-The originality of the paper rests on two important grounds: the authors focus on trading turnover rather than on other liquidity proxies, since the former is accepted as an important determinant of the liquidity-generation process, and the authors adopt a rigorous approach towards checking the robustness of the results by considering various sub-sample configurations.

Research paper thumbnail of Strategic Priorities for Stock Exchanges in New EU Member States

RePEc: Research Papers in Economics, 2006

This ttudy discUSUf ,~ strategic priorilie~ (nuJ d,atl .. ltg~J for IUI{,j,iu euM"g~S in "" .

Research paper thumbnail of An Analysis of the Profitability, Risk and Growth Indicators of Banks Operating in Malta

Research paper thumbnail of An analysis of stock index distributions of selected emerging markets

RePEc: Research Papers in Economics, 2006

Stock market data tends to display distinct characteristics commonly known as "stylized facts". T... more Stock market data tends to display distinct characteristics commonly known as "stylized facts". These include non-stationarity of price levels, as well as peak-shaped, fat-tailed and heteroskedastic log returns. This paper presents empirical evidence of these characteristics for emerging market indices, spanning over different geographic regions. The results do not disclose asymmetry in the tails of log return distributions in any particular direction. In addition, it is not confirmed that high volatility tends to follow large negative returns.

Research paper thumbnail of The impact of the suspension of opening and closing call auctions: Evidence from the National Stock Exchange of India

RePEc: Research Papers in Economics, 2009

We study the impact of the suspension of opening and closing call auctions by the National Stock ... more We study 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. Following suspension, VEL improved and the CARs were significant but not uniformly positive or negative. Also, less liquid stocks traded less in the auctions than other securities, especially at the opening, and they experienced gains following suspension. This is consistent with there being liquidity externalities associated with auctions, as appears to be the case in some industrial countries. We conclude that opening and closing call auctions may not necessarily improve share trading in a less liquid emerging market.

Research paper thumbnail of Strategic priorities for EU accession country securities exchanges

The presentation outlined the strategic priorities for securities exchanges in EU accession count... more The presentation outlined the strategic priorities for securities exchanges in EU accession countries, with a special reference to the Malta Stock Exchange (MSE). Most of the EU accession country exchanges were set up only recently in conjunction with government privatisation programmes. These exchanges are typically small and witness modest levels of liquidity. On the other hand these exchanges typically use modern electronic trading systems which give them a competitive edge over other institutions. MSE is one of the smallest exchanges in EU accession countries and turnover is heavily dependent on three major equity issues. EU accession country exchanges have to address five interrelated strategic priorities as outlined below. 1 Internationalization The internationalisation process resulting from deregulation and technological improvements has lead companies to market their securities to foreign investors, commonly by issuing Depository Receipts. The main concern for accession country exchanges is that business may be diverted away ______________________________________________________________________________________ These comments were published as follows:

Research paper thumbnail of Muzika u arti ohra : programs 1-18

This series of programs is about music of different genres some of which are tied to a particular... more This series of programs is about music of different genres some of which are tied to a particular country. The programs include contributions from guests that talk about various artistic topics. Produced and presented by Dr Silvio J. Camilleri.

Research paper thumbnail of The Impact of the Suspension of Opening and Closing Call

RePEc: Research Papers in Economics, Nov 8, 2004

We study the suspension of opening and closing call auctions by the National Stock Exchange of In... more 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 improved and the CARs were significant but not uniformly positive or negative. Less liquid stocks traded less in the auctions than other securities, especially at the opening and they experienced an increase in value following suspension. This is consistent with there being liquidity externalities associated with auctions. We conclude that opening and closing call auctions may not necessarily improve share trading in a less liquid emerging market.

Research paper thumbnail of The Diversification Potential Offered by Emerging Markets in Recent Years

RePEc: Research Papers in Economics, 2009

This paper investigates the diversification prospects which may be reaped when investing in a mix... more 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. Yet, the latter may be counterbalanced by the fact that emerging markets usually present higher risks when considered on their own; for instance higher price volatility and fluctuating liquidity. We use a panel data set spanning over a 10 year period and form a number of portfolios. We find that over the sample period, emerging market assets could be combined into efficient portfolios when assessed in terms of risk and return. By contrast, portfolios involving developed market assets tended to be inefficient. We also investigate whether emerging markets have converged to developed ones over the past years. When analysing co-movements between indices, the correlation values suggest that emerging markets have offered diversification potential. However we also find evidence of features which make it more challenging to reap the expected risk reduction benefits. The latter factors are the tendency for emerging markets to exhibit a higher individual variability, and the trend for markets to move more in line with each other as suggested by convergence literature.