Monthly and semi-annual seasonality in the Irish equity market 1934-2000
This paper examines the monthly and semi-annual behaviour of the Irish equity market in the long term. Little has previously been written about the Irish market, and such work as has been undertaken has confined examination to relatively short time spans. The paper finds, over the 1934-2000 period, a strong and persistent monthly effect with a January peak, as well as evidence of April and half-year seasonality.
Volume (Year): 14 (2004)
Issue (Month): 3 ()
|Contact details of provider:|| Web page: http://www.tandfonline.com/RAFE20|
|Order Information:||Web: http://www.tandfonline.com/pricing/journal/RAFE20|
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Brown, Philip & Keim, Donald B. & Kleidon, Allan W. & Marsh, Terry A., 1983. "Stock return seasonalities and the tax-loss selling hypothesis : Analysis of the arguments and Australian evidence," Journal of Financial Economics, Elsevier, vol. 12(1), pages 105-127, June.
- Rozeff, Michael S. & Kinney, William Jr., 1976. "Capital market seasonality: The case of stock returns," Journal of Financial Economics, Elsevier, vol. 3(4), pages 379-402, October.
- Chang, Eric C. & Pinegar, J. Michael, 1989. "Seasonal Fluctuations in Industrial Production and Stock Market Seasonals," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(01), pages 59-74, March.
- Paul Draper & Krishna Paudyal, 1997. "Microstructure and Seasonality in the UK Equity Market," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 24(7&8), pages 1177-1204.
- Sullivan, Ryan & Timmermann, Allan & White, Halbert, 2001. "Dangers of data mining: The case of calendar effects in stock returns," Journal of Econometrics, Elsevier, vol. 105(1), pages 249-286, November.
- Reinganum, Marc R & Shapiro, Alan C, 1987. "Taxes and Stock Return Seasonality: Evidence from the London Stock Exchange," The Journal of Business, University of Chicago Press, vol. 60(2), pages 281-95, April.
- Kato, Kiyoshi & Schallheim, James S., 1985. "Seasonal and Size Anomalies in the Japanese Stock Market," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 20(02), pages 243-260, June.
- Chang, Eric C. & Pinegar, J. Michael, 1990. "Stock Market Seasonals and Prespecified Multifactor Pricing Relations," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 25(04), pages 517-533, December.
- Corhay, Albert & Hawawini, Gabriel & Michel, Pierre, 1987. " Seasonality in the Risk-Return Relationship: Some International Evidence," Journal of Finance, American Finance Association, vol. 42(1), pages 49-68, March.
- Tinic, Seha M. & Barone-Adesi, Giovanni & West, Richard R., 1987. "Seasonality in Canadian Stock Prices: A Test of the “Tax-Loss-Selling” Hypothesis," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(01), pages 51-63, March.
- 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.
When requesting a correction, please mention this item's handle: RePEc:taf:apfiec:v:14:y:2004:i:3:p:203-208. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty)
If references are entirely missing, you can add them using this form.