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Robust estimates of daily seasonality in the Irish equity market

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Author Info
Brian M. Lucey

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Abstract

This article examines, in a robust manner, the question of whether or not an unusual form of daily seasonality existed in the Irish market. Previous studies have indicated that the pattern of such seasonality in Ireland differs from that found elsewhere. Other research indicates that daily seasonality may not exist at all. The findings are that after adjusting for sample size and taking into account the non-normality of the data, the evidence for daily seasonality in the Irish market is very weak. This is confirmed by resampling methods.

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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): 7 (April)
Pages: 517-523
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Handle: RePEc:taf:apfiec:v:14:y:2004:i:7:p:517-523

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  7. Dubois, M. & Louvet, P., 1996. "The day-of-the-week effect: The international evidence," Journal of Banking & Finance, Elsevier, vol. 20(9), pages 1463-1484, November. [Downloadable!] (restricted)
  8. Glosten, Lawrence R & Jagannathan, Ravi & Runkle, David E, 1993. " On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks," Journal of Finance, American Finance Association, vol. 48(5), pages 1779-1801, December. [Downloadable!] (restricted)
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  9. 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)
  10. Easton, Stephen A & Faff, Robert W, 1994. "An Investigation of the Robustness of the Day-of-the-Week Effect in Australia," Applied Financial Economics, Taylor and Francis Journals, vol. 4(2), pages 99-110, April. [Downloadable!] (restricted)
  11. Chang, Eric C. & Pinegar, J. Michael & Ravichandran, R., 1993. "International Evidence on the Robustness of the Day-of-the-Week Effect," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 28(04), pages 497-513, December. [Downloadable!]
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