Please use this identifier to cite or link to this item: http://hdl.handle.net/1893/26675
Full metadata record
DC FieldValueLanguage
dc.contributor.authorLucey, Brian M-
dc.date.accessioned2018-02-12T14:32:36Z-
dc.date.available2018-02-12T14:32:36Z-
dc.date.issued2003-
dc.identifier.urihttp://hdl.handle.net/1893/26675-
dc.description.abstractDetection of 'anomalies', empirical regularities that are inexplicable within a preeminent or accepted paradigm, is a key aspect of the operation of scientific endeavour. The dominant theories of financial economics, those deriving from the CAPM/APT literature, hold that there should not exist persistent differences in the returns to assets across calendar frequencies. An extensive review of the literature reveals that in a wide variety of assets and markets there is evidence that returns differ according to the calendar frequency, in particular across days of the week and months of the year and around recurrent holidays. However, this review also reveals considerable room for increased methodological and statistical sophistication. In particular, the nature and extent of the data indicate that techniques based on robust regression, non-parametric statistics and Bayesian inference are more appropriate than the predominantly OLS based approaches displayed in the literature. Papers that adopt these more sophisticated approaches generally find much weaker evidence for such calendar anomalies. In essence, the Irish Stock Exchange operated free from exchange controls and in a broadly homogenous monetary and economic environment from 1988 to 1998. Daily returns from 1988 to 1998, on official equity indices, and from 1993 to 1998 on equal and value weighted equity indices, are examined. The evidence is that even when more sophisticated and appropriate techniques are used there is still some evidence for a daily pattern in the returns to these indices. However this pattern is dissimilar to that found elsewhere, consisting of a midweek positive peak as opposed to the more commonly found low returns at the start of the week and higher returns on Friday. This pattern is not a function of the settlement system, does not appear to be related to the pattern of either microeconomic (firm-specific) or macroeconomic information releases, nor does it appear to be a function of endogenous news generation. Previous international research indicates a January peak in returns, while previous research on the Irish market had also found an April peak. While the investigation here of the monthly pattern of returns confirms, in a statistically and methodologically robust manner, the January peak no evidence is found of an April peak. Examination of the return pattern around exchange holidays indicates that, in common with other markets referenced in the literature, there is a rise in returns before a holiday. However, on decomposition into local and international components we find that although the local effect is strong this effect is negative, which is a major point of departure from previous research findings.en_GB
dc.language.isoenen_GB
dc.publisherUniversity of Stirlingen_GB
dc.subject.lcshIrish Stock Exchangeen_GB
dc.subject.lcshInflation (Finance) Forecastingen_GB
dc.subject.lcshAsset-liability managementen_GB
dc.titleCalendar seasonality in the Irish equity market : 1988-1998en_GB
dc.typeThesis or Dissertationen_GB
dc.type.qualificationlevelDoctoralen_GB
dc.type.qualificationnameDoctor of Philosophyen_GB
Appears in Collections:eTheses from Stirling Management School legacy departments

Files in This Item:
File Description SizeFormat 
Lucey-thesis.pdf10.99 MBAdobe PDFView/Open


This item is protected by original copyright



Items in the Repository are protected by copyright, with all rights reserved, unless otherwise indicated.

The metadata of the records in the Repository are available under the CC0 public domain dedication: No Rights Reserved https://creativecommons.org/publicdomain/zero/1.0/

If you believe that any material held in STORRE infringes copyright, please contact library@stir.ac.uk providing details and we will remove the Work from public display in STORRE and investigate your claim.