Anomalous Daily Seasonality in Ireland?

Posted: 30 Apr 2001

See all articles by Brian M. Lucey

Brian M. Lucey

Trinity Business School, Trinity College Dublin; Jiangxi University of Finance and Economics; Abu Dhabi University - College of Business Administration; Ho Chi Minh City University of Economics and Finance

Abstract

Irish stock market daily returns are examined, with a finding of a significant postive Wednesday return. Using a GARCH-M specification, this cannot, it appears, be down to systemic risk.

JEL Classification: F12

Suggested Citation

Lucey, Brian M., Anomalous Daily Seasonality in Ireland?. Applied Economics Letters, Vol. 7, 2000, Available at SSRN: https://ssrn.com/abstract=242469

Brian M. Lucey (Contact Author)

Trinity Business School, Trinity College Dublin ( email )

The Sutherland Centre, Level 6, Arts Building
Dublin 2
Ireland
+353 1 608 1552 (Phone)
+353 1 679 9503 (Fax)

Jiangxi University of Finance and Economics ( email )

South Lushan Road
Nanchang, Jiangxi 330013
China

Abu Dhabi University - College of Business Administration ( email )

PO Box 59911
Abu Dhabi, Abu Dhabi 59911
United Arab Emirates

Ho Chi Minh City University of Economics and Finance ( email )

59C Nguyen Dình Chieu
6th Ward, District 3
Ho Chi Minh City, Ho Chi Minh 70000
Vietnam

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