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

Camilleri, Silvio John; Green, Christopher J.

doi:10.2139/ssrn.739344

Cited by 9 publications

(18 citation statements)

References 28 publications

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“…Emerald does not grant permission for this article to be further copied/distributed or hosted elsewhere without the express permission from Emerald Group Publishing Limited. (Camilleri and Green, 2014). In addition, the underlying news pattern (which is not observed) may in fact justify some instances of reversal.…”

Section: Limitations Of This Methodology Is Warranted the Test May Bmentioning

confidence: 98%

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

Camilleri

2015

Managerial Finance

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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 of opening and closing call auctions on the National Stock Exchange (NSE) of India in 1999. The authors evaluate this issue by considering both modelled and realised volatility. Using a GARCH approach the authors model intra-day volatility for the trading days preceding and succeeding the auction suspension. The authors also scrutinise return distributions to look for volatility changes during different parts of the day. Findings – When interpreted collectively, the 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, the 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 auctions by considering an unusual occurrence of an auction suspension. The empirical setting enables a clear comparison of the respective regimes since these periods 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.

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Section: Limitations Of This Methodology Is Warranted the Test May Bmentioning

confidence: 98%

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

Camilleri

2015

Managerial Finance

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“…Another limitation typically arises when modelling stock prices, in the sense that one does not usually account for all the intricacies inherent in such data. For instance, the study did not consider factors such as spillovers from other markets (Camilleri, 2010;Mensi et al, 2017), non-synchronous trading (Day & Wang, 2002;Camilleri & Green, 2014), and the trading setup (Camilleri, 2015;Hendershott & Moulton, 2011). Despite that this study abstracts from the former aspects, we do not feel that this compromises the validity of the results, particularly in view of the emphasis which we laid on robustness-checking and the different methodologies applied.…”

Section: Irxmsmentioning

confidence: 98%

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

Camilleri

Scicluna

Bai

2019

The North American Journal of Economics and Finance

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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.

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“…This may tilt results in favour of better performing entities, because underperforming funds are more likely to exit the market (Lai & Wang, 2016) and the merging of funds may be connected with unsatisfactory perfromance (Wang & Huang, 2013). Finally, given that the NAVs of the funds depend on the prices of the underlying holdings such as stocks, the former are prone to unaccounted-for factors such as stock price seasonality (Camilleri, 2008;Lucey& Whelan, 2004), and non-synchronous trading effects (Day & Wang, 2002;Camilleri & Green, 2014).…”

Section: Resultsmentioning

confidence: 99%

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

Camilleri¹,

Farrugia²

2018

IJEF

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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 re-shaped 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.

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

Cited by 9 publications

References 28 publications

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

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

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

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

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