Monthly and Semi-Annual Seasonality in the Irish Equity Market 1934-2000

53 Pages Posted: 8 Feb 2002

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

Shane Whelan

University College Dublin (UCD)

Date Written: January 2002

Abstract

In a working paper, Jacobsen and Bouman (2002) claim that the old stock market saying of "sell in May and go away but buy back on St Leger Day" produces statistically significant profit when tested on a large database of equity market returns over the last decade, three decades, and even longer periods. A recently published paper, Sullivan, Timmerman and White (2002), dismisses the claim of statistical significance of this or any other calendar-based trading rule, attributing the reported test results to a large data-mining exercise of the academic and financial communities. In this paper we provide an out-of-sample test on the Bouman & Jacobsen strategy and conclude that the reported results are indeed statistically significant. In doing so we re-introduce a reliable index of capital returns on the Irish equity market maintained contemporaneously by the Irish Central Statistical Office (and its forerunner) since January 1934 and which, in its early decades, displays markedly different statistical properties to both the US and UK equity markets of that time and equity market returns generally in recent decades.

As a subsidiary exercise we reconsider the extensive literature on monthly seasonality in equity markets with this novel index and contend that the abnormally high returns, frequently reported in January and April and occasionally in February and other months, are perhaps more accurately and certainly more parsimoniously ascribed to the half-year effect captured in the old stock market adage. The paper also discusses the extent of these calendar effects in the higher moments of the Irish index, and discusses a trading rule derived from same.

Keywords: Ireland, Bayesian Analysis, Efficiency, Trading Rule

JEL Classification: G14

Suggested Citation

Lucey, Brian M. and Whelan, Shane, Monthly and Semi-Annual Seasonality in the Irish Equity Market 1934-2000 (January 2002). Available at SSRN: https://ssrn.com/abstract=298045 or http://dx.doi.org/10.2139/ssrn.298045

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

Shane Whelan

University College Dublin (UCD) ( email )

Belfield
Department of Statistics
Dublin 4
Ireland
+353-1 7167155 (Phone)

Do you have negative results from your research you’d like to share?

Paper statistics

Downloads
402
Abstract Views
2,477
Rank
134,402
PlumX Metrics