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Investigating the determinants of the Wednesday seasonal in Irish Equities

  • Lucey, Brian M.

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File URL: http://www.sciencedirect.com/science/article/B7CPK-4H7TD3B-1/2/f4030f01f15e2b87e1176bbff122e9a9
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Article provided by Elsevier in its journal Research in International Business and Finance.

Volume (Year): 20 (2006)
Issue (Month): 1 (March)
Pages: 62-76

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Handle: RePEc:eee:riibaf:v:20:y:2006:i:1:p:62-76
Contact details of provider: Web page: http://www.elsevier.com/locate/ribaf

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  1. 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.
  2. J. Andrew Coutts & Peter Hayes, 1999. "The weekend effect, the Stock Exchange Account and the Financial Times Industrial Ordinary Shares Index: 1987-1994," Applied Financial Economics, Taylor & Francis Journals, vol. 9(1), pages 67-71.
  3. Steeley, James M., 2001. "A note on information seasonality and the disappearance of the weekend effect in the UK stock market," Journal of Banking & Finance, Elsevier, vol. 25(10), pages 1941-1956, October.
  4. Brian Lucey, 2000. "Anomalous daily seasonality in Ireland?," Applied Economics Letters, Taylor & Francis Journals, vol. 7(10), pages 637-640.
  5. Brusa, Jorge & Liu, Pu & Schulman, Craig, 2003. "The "reverse" weekend effect: the U.S. market versus international markets," International Review of Financial Analysis, Elsevier, vol. 12(3), pages 267-286.
  6. French, Kenneth R., 1980. "Stock returns and the weekend effect," Journal of Financial Economics, Elsevier, vol. 8(1), pages 55-69, March.
  7. David Bell & Eric Levin, 1998. "What causes intra-week regularities in stock returns? Some evidence from the UK," Applied Financial Economics, Taylor & Francis Journals, vol. 8(4), pages 353-357.
  8. Solnik, Bruno & Bousquet, Laurence, 1990. "Day-of-the-week effect on the Paris Bourse," Journal of Banking & Finance, Elsevier, vol. 14(2-3), pages 461-468, August.
  9. Lakonishok, Josef & Levi, Maurice, 1982. " Weekend Effects on Stock Returns: A Note," Journal of Finance, American Finance Association, vol. 37(3), pages 883-89, June.
  10. Brian Lucey, 2004. "Robust estimates of daily seasonality in the Irish equity market," Applied Financial Economics, Taylor & Francis Journals, vol. 14(7), pages 517-523.
  11. Barone, E., 1990. "The italian stock market : Efficiency and calendar anomalies," Journal of Banking & Finance, Elsevier, vol. 14(2-3), pages 483-510, August.
  12. Penman, Stephen H., 1987. "The distribution of earnings news over time and seasonalities in aggregate stock returns," Journal of Financial Economics, Elsevier, vol. 18(2), pages 199-228, June.
  13. Jeffrey Jaffe & R. Westerfield, . "The Week-End Effect in Common Stock Returns: The International Evidence," Rodney L. White Center for Financial Research Working Papers 03-85, Wharton School Rodney L. White Center for Financial Research.
  14. Jaffe, Jeffrey F & Westerfield, Randolph, 1985. " The Week-End Effect in Common Stock Returns: The International Evidence," Journal of Finance, American Finance Association, vol. 40(2), pages 433-54, June.
  15. Stephen Keef & Melvin Roush, 2005. "Day-of-the-week effects in the pre-holiday returns of the Standard & Poor's 500 stock index," Applied Financial Economics, Taylor & Francis Journals, vol. 15(2), pages 107-119.
  16. Madureira, Leonardo L. & Leal, Ricardo P. C., 2001. "Elusive anomalies in the Brazilian stock market," International Review of Financial Analysis, Elsevier, vol. 10(2), pages 123-134.
  17. Aggarwal, Raj & Schatzberg, John D., 1997. "Day of the week effects, information seasonality, and higher moments of security returns," Journal of Economics and Business, Elsevier, vol. 49(1), pages 1-20, February.
  18. Josef Lakonishok, Seymour Smidt, 1988. "Are Seasonal Anomalies Real? A Ninety-Year Perspective," Review of Financial Studies, Society for Financial Studies, vol. 1(4), pages 403-425.
  19. Agrawal, Anup & Tandon, Kishore, 1994. "Anomalies or illusions? Evidence from stock markets in eighteen countries," Journal of International Money and Finance, Elsevier, vol. 13(1), pages 83-106, February.
  20. 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.
  21. Yadav, Pradeep K. & Pope, Peter F., 1992. "Intraweek and intraday seasonalities in stock market risk premia: Cash and futures," Journal of Banking & Finance, Elsevier, vol. 16(1), pages 233-270, February.
  22. Peiro, Amado, 1994. "Daily seasonality in stock returns : Further international evidence," Economics Letters, Elsevier, vol. 45(2), pages 227-232, June.
  23. Jeffrey Jaffe & R. Westerfield, . "The Week-End Effect in Common Stock Returns: The International Evidence," Rodney L. White Center for Financial Research Working Papers 3-85, Wharton School Rodney L. White Center for Financial Research.
  24. Theobald, Michael & Price, Vera, 1984. " Seasonality Estimation in Thin Markets," Journal of Finance, American Finance Association, vol. 39(2), pages 377-92, June.
  25. Albert Corhay, 1991. "Daily seasonalities on the Brussels spot equity market," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, vol. 132, pages 415-430.
  26. 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.
  27. Ronny Aboudi & Dominique Thon, 1994. "Efficient Algorithms for Stochastic Dominance Tests Based on Financial Market Data," Management Science, INFORMS, vol. 40(4), pages 508-515, April.
  28. Kohers, Theodor & Patel, Jayen B., 1996. "An examination of the day-of-the-week effect in junk bond returns over business cycles," Review of Financial Economics, Elsevier, vol. 5(1), pages 31-46.
  29. A. Gregoriou & A. Kontonikas & N. Tsitsianis, 2004. "Does the day of the week effect exist once transaction costs have been accounted for? Evidence from the UK," Applied Financial Economics, Taylor & Francis Journals, vol. 14(3), pages 215-220.
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