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

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  • Brian Lucey
  • Edel Tully

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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Bibliographic Info

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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References

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  1. Brian Lucey, 2000. "Anomalous daily seasonality in Ireland?," Applied Economics Letters, Taylor & Francis Journals, vol. 7(10), pages 637-640.
  2. M. J. Fields, 1934. "Security Prices and Stock Exchange Holidays in Relation to Short Selling," The Journal of Business, University of Chicago Press, vol. 7, pages 328.
  3. Pettengill, Glenn N, 1989. "Holiday Closings and Security Returns," Journal of Financial Research, Southern Finance Association & Southwestern Finance Association, vol. 12(1), pages 57-67, Spring.
  4. 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 & Southwestern Finance Association, vol. 15(2), pages 101-12, Summer.
  5. Zainudin Arsad & J. Andrew Coutts, 1997. "Security price anomalies in the London International Stock Exchange: a 60 year perspective," Applied Financial Economics, Taylor & Francis Journals, vol. 7(5), pages 455-464.
  6. 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.
  7. Paul Brockman & David Michayluk, 1998. "The persistent holiday effect: additional evidence," Applied Economics Letters, Taylor & Francis Journals, vol. 5(4), pages 205-209.
  8. 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.
  9. Barone, E., 1990. "The italian stock market : Efficiency and calendar anomalies," Journal of Banking & Finance, Elsevier, vol. 14(2-3), pages 483-510, August.
  10. Theobald, Michael & Price, Vera, 1984. " Seasonality Estimation in Thin Markets," Journal of Finance, American Finance Association, vol. 39(2), pages 377-92, June.
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Cited by:
  1. Meneu, Vicente & Pardo, Angel, 2004. "Pre-holiday effect, large trades and small investor behaviour," Journal of Empirical Finance, Elsevier, vol. 11(2), pages 231-246, March.
  2. Dumitriu, Ramona & Stefanescu, Razvan & Nistor, Costel, 2012. "Holiday effects during quiet and turbulent times," MPRA Paper 41625, University Library of Munich, Germany, revised 07 Mar 2012.

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