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Are Local or International influences responsible for the pre-holiday behaviour of Irish equities?

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Author Info
Brian Lucey
Edel Tully

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Abstract

The preholiday behaviour of equity price and return indices on the Irish Stock Exchange do nor display consistent positive pre-holiday returns. This is contrary to the majority of studies on this area, and the result is found across a number of sectoral indices. The analysis also indicates that these curious results are driven by local, as opposed to international, influences Classification-

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Paper provided by IIIS in its series The Institute for International Integration Studies Discussion Paper Series with number iiisdp056.

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Date of creation: 20 Apr 2005
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Handle: RePEc:iis:dispap:iiisdp056

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Keywords: Ireland; Non-Parametric; Stock Returns;

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  1. Cadsby, Charles Bram & Ratner, Mitchell, 1992. "Turn-of-month and pre-holiday effects on stock returns: Some international evidence," Journal of Banking & Finance, Elsevier, vol. 16(3), pages 497-509, June. [Downloadable!] (restricted)
  2. Barone, E., 1990. "The italian stock market : Efficiency and calendar anomalies," Journal of Banking & Finance, Elsevier, vol. 14(2-3), pages 483-510, August. [Downloadable!] (restricted)
  3. Kim, Chan-Wung & Park, Jinwoo, 1994. "Holiday Effects and Stock Returns: Further Evidence," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 29(01), pages 145-157, March. [Downloadable!]
  4. Theobald, Michael & Price, Vera, 1984. " Seasonality Estimation in Thin Markets," Journal of Finance, American Finance Association, vol. 39(2), pages 377-92, June. [Downloadable!] (restricted)
  5. M. J. Fields, 1934. "Security Prices and Stock Exchange Holidays in Relation to Short Selling," Journal of Business, University of Chicago Press, vol. 7, pages 328. [Downloadable!]
  6. Brockman, Paul & Michayluk, David, 1998. "The Persistent Holiday Effect: Additional Evidence," Applied Economics Letters, Taylor and Francis Journals, vol. 5(4), pages 205-09, April. [Downloadable!] (restricted)
  7. Pettengill, Glenn N, 1989. "Holiday Closings and Security Returns," Journal of Financial Research, Southern Finance Association and Southwestern Finance Association, vol. 12(1), pages 57-67, Spring.
  8. Lucey, Brian M, 2000. "Anomalous Daily Seasonality in Ireland?," Applied Economics Letters, Taylor and Francis Journals, vol. 7(10), pages 637-40, October. [Downloadable!] (restricted)
  9. Bhardwaj, Ravinder K & Brooks, LeRoy D, 1992. "Stock Price and Degree of Neglect as Determinants of Stock Returns," Journal of Financial Research, Southern Finance Association and Southwestern Finance Association, vol. 15(2), pages 101-12, Summer.
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