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Robust estimates of daily seasonality in the Irish equity market

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  • Brian Lucey

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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Bibliographic Info

Article provided by Taylor & Francis Journals in its journal Applied Financial Economics.

Volume (Year): 14 (2004)
Issue (Month): 7 ()
Pages: 517-523

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Handle: RePEc:taf:apfiec:v:14:y:2004:i:7:p:517-523

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  11. A.D. Clare & M.S.B. Ibrahim & S.H. Thomas, 1998. "The Impact of Settlement Procedures on Day-of-the-week Effects: Evidence from the Kuala Lumpur Stock Exchange," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 25(3&4), pages 401-418.
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Cited by:
  1. Lucey, Brian M., 2006. "Investigating the determinants of the Wednesday seasonal in Irish Equities," Research in International Business and Finance, Elsevier, vol. 20(1), pages 62-76, March.
  2. Lucey, Brian M & Zhao, Shelly, 2008. "Halloween or January? Yet another puzzle," International Review of Financial Analysis, Elsevier, vol. 17(5), pages 1055-1069, December.

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