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The behaviour of Irish ISEQ index: some new empirical tests

Author

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  • Philip Hamill
  • Kwaku Opong
  • Dan Sprevak

Abstract

This study applies statistical tools, derived from chaos theory, to examine the behaviour of the ISEQ equity index on the Dublin Stock Exchange. Evidence that the ISEQ index series does not behave as a realization of a sequence of independent, identically distributed random variables (IID) is provided.

Suggested Citation

  • Philip Hamill & Kwaku Opong & Dan Sprevak, 2000. "The behaviour of Irish ISEQ index: some new empirical tests," Applied Financial Economics, Taylor & Francis Journals, vol. 10(6), pages 693-700.
  • Handle: RePEc:taf:apfiec:v:10:y:2000:i:6:p:693-700
    DOI: 10.1080/096031000438042
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    Citations

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    Cited by:

    1. Massimo Guidolin & Stuart Hyde, 2009. "What tames the Celtic Tiger? Portfolio implications from a Multivariate Markov Switching model," Applied Financial Economics, Taylor & Francis Journals, vol. 19(6), pages 463-488.
    2. repec:spr:jeicoo:v:12:y:2017:i:2:d:10.1007_s11403-015-0157-5 is not listed on IDEAS
    3. Bley, Jorg, 2011. "Are GCC stock markets predictable?," Emerging Markets Review, Elsevier, vol. 12(3), pages 217-237, September.
    4. Jorge Belaire-Franch & Kwaku Opong, 2005. "A Variance Ratio Test of the Behaviour of Some FTSE Equity Indices Using Ranks and Signs," Review of Quantitative Finance and Accounting, Springer, vol. 24(1), pages 93-107, January.
    5. Kian-Ping Lim & Weiwei Luo & Jae H. Kim, 2013. "Are US stock index returns predictable? Evidence from automatic autocorrelation-based tests," Applied Economics, Taylor & Francis Journals, vol. 45(8), pages 953-962, March.

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