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Robust estimates of daily seasonality in the Irish equity market

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  • Brian Lucey

Abstract

This article examines, in a robust manner, the question of whether or not an unusual form of daily seasonality existed in the Irish market. Previous studies have indicated that the pattern of such seasonality in Ireland differs from that found elsewhere. Other research indicates that daily seasonality may not exist at all. The findings are that after adjusting for sample size and taking into account the non-normality of the data, the evidence for daily seasonality in the Irish market is very weak. This is confirmed by resampling methods.

Suggested Citation

  • 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.
  • Handle: RePEc:taf:apfiec:v:14:y:2004:i:7:p:517-523
    DOI: 10.1080/0960310042000216079
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    References listed on IDEAS

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    Cited by:

    1. Lucey, Brian M & Zhao, Shelly, 2008. "Halloween or January? Yet another puzzle," International Review of Financial Analysis, Elsevier, vol. 17(5), pages 1055-1069, December.
    2. Lucey, Brian M., 2006. "Investigating the determinants of the Wednesday seasonal in Irish Equities," Research in International Business and Finance, Elsevier, vol. 20(1), pages 62-76, March.
    3. Auer, Benjamin R., 2014. "Daily seasonality in crude oil returns and volatilities," Energy Economics, Elsevier, vol. 43(C), pages 82-88.
    4. repec:eee:ecofin:v:43:y:2018:i:c:p:169-205 is not listed on IDEAS
    5. repec:spr:jecfin:v:42:y:2018:i:1:d:10.1007_s12197-017-9385-y is not listed on IDEAS

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