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Anomalous daily seasonality in Ireland?

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  • Brian Lucey

Abstract

Substantial evidence exists to indicate that a negative Monday, or in some case Tuesday, mean return is achieved by stock market indices. In contrast to these and to previous Irish studies, this paper finds that there is no negative Monday or Tuesday return, there being a persistent and positive Wednesday return. This is seen across two indices and over a number of sub-periods. It is also seen, using a GARCH-M specification, that this 'Wednesday effect' cannot be attributed to systemic daily variation in risk.

Suggested Citation

  • Brian Lucey, 2000. "Anomalous daily seasonality in Ireland?," Applied Economics Letters, Taylor & Francis Journals, vol. 7(10), pages 637-640.
  • Handle: RePEc:taf:apeclt:v:7:y:2000:i:10:p:637-640 DOI: 10.1080/135048500415923
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    References listed on IDEAS

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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, pages 62-76.
    2. Brian Lucey, 2005. "Are local or international influences responsible for the pre-holiday behaviour of Irish equities?," Applied Financial Economics, Taylor & Francis Journals, pages 381-389.
    3. Venus Khim-Sen Liew & Ricky Chee-Jiun Chia & Syed Azizi Wafa Syed Khalid Wafa, 2008. "Day-of-the-week effects in Selected East Asian stock markets," Economics Bulletin, AccessEcon, vol. 7(5), pages 1-8.
    4. Chia, Ricky Chee-Jiun & Liew, Venus Khim-Sen & Syed Khalid Wafa, Syed Azizi Wafa, 2006. "Calendar anomalies in the Malaysian stock market," MPRA Paper 516, University Library of Munich, Germany.
    5. Chia Ricky Chee-Jiun & Lim Shiok Ye, 2011. "Stock Market Anomalies in South Africa and its Neighbouring Countries," Economics Bulletin, AccessEcon, vol. 31(4), pages 3123-3137.
    6. repec:ebl:ecbull:v:7:y:2008:i:5:p:1-8 is not listed on IDEAS

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