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Monthly and semi-annual seasonality in the Irish equity market 1934-2000

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Author Info
Brian M. Lucey
Shane Whelan

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Abstract

This paper examines the monthly and semi-annual behaviour of the Irish equity market in the long term. Little has previously been written about the Irish market, and such work as has been undertaken has confined examination to relatively short time spans. The paper finds, over the 1934-2000 period, a strong and persistent monthly effect with a January peak, as well as evidence of April and half-year seasonality.

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Publisher Info
Article provided by Taylor and Francis Journals in its journal Applied Financial Economics.

Volume (Year): 14 (2004)
Issue (Month): 3 (February)
Pages: 203-208
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Handle: RePEc:taf:apfiec:v:14:y:2004:i:3:p:203-208

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  1. Paul Draper & Krishna Paudyal, 1997. "Microstructure and Seasonality in the UK Equity Market," Journal of Business Finance & Accounting, Blackwell Publishing, vol. 24(7&8), pages 1177-1204. [Downloadable!] (restricted)
  2. Corhay, Albert & Hawawini, Gabriel & Michel, Pierre, 1987. " Seasonality in the Risk-Return Relationship: Some International Evidence," Journal of Finance, American Finance Association, vol. 42(1), pages 49-68, March. [Downloadable!] (restricted)
  3. Rozeff, Michael S. & Kinney, William Jr., 1976. "Capital market seasonality: The case of stock returns," Journal of Financial Economics, Elsevier, vol. 3(4), pages 379-402, October. [Downloadable!] (restricted)
  4. Sullivan, Ryan & Timmermann, Allan & White, Halbert, 2001. "Dangers of data mining: The case of calendar effects in stock returns," Journal of Econometrics, Elsevier, vol. 105(1), pages 249-286, November. [Downloadable!] (restricted)
  5. Reinganum, Marc R & Shapiro, Alan C, 1987. "Taxes and Stock Return Seasonality: Evidence from the London Stock Exchange," Journal of Business, University of Chicago Press, vol. 60(2), pages 281-95, April. [Downloadable!] (restricted)
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