How Robust is the Daily Seasonal in Irish Equities?

79 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

Date Written: January 2002

Abstract

This paper examines, in a statistically robust manner, the question of whether daily seasonality exists in the Irish market. The paper starts with a brief literature review, and a rather longer discussion of the particular methodological challenges such investigations pose. These challenges are, it is hoped, faced and, partially at least, overcome in the remainder of the paper. 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 much reduced, although not eliminated. The paper goes beyond previous work in its analysis of the second and higher moments, again employing robust and statistically appropriate methods. Evidence is provided of daily seasonality in the second and higher moments that mirror only partially the evidence in the lower moment.

Keywords: Ireland, Bayesian Analysis, Efficiency

JEL Classification: G14

Suggested Citation

Lucey, Brian M., How Robust is the Daily Seasonal in Irish Equities? (January 2002). Available at SSRN: https://ssrn.com/abstract=298044 or http://dx.doi.org/10.2139/ssrn.298044

Brian M. Lucey (Contact Author)

Trinity Business School, Trinity College Dublin ( email )

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Jiangxi University of Finance and Economics ( email )

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China

Abu Dhabi University - College of Business Administration ( email )

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United Arab Emirates

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

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Ho Chi Minh City, Ho Chi Minh 70000
Vietnam

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