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Market direction and moment seasonality: evidence from Irish equities

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  • Brian Lucey

Abstract

The first four moments of four indices of equity returns produced by the Irish Stock Exchange are examined across different market directions. Using standard F, Kruskal-Wallis and Levene tests daily seasonality is confirmed in all, although in a pattern different to that found elsewhere. In particular, there appears to be a Wednesday effect in mean returns and, counter to evidence elsewhere, daily seasonality appears stronger in rising than falling markets. In addition, this note applies a method introduced by Tang (Journal of Economics and Business, 21(1), 1997) in finding a daily seasonal in skewness and kurtosis.

Suggested Citation

  • Brian Lucey, 2002. "Market direction and moment seasonality: evidence from Irish equities," Applied Economics Letters, Taylor & Francis Journals, vol. 9(10), pages 657-664.
    • Handle: RePEc:taf:apeclt:v:9:y:2002:i:10:p:657-664
    DOI: 10.1080/13504850110117841
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    Cited by:

    1. Auer, Benjamin R., 2014. "Daily seasonality in crude oil returns and volatilities," Energy Economics, Elsevier, vol. 43(C), pages 82-88.
    2. Chatzitzisi, Evanthia & Fountas, Stilianos & Panagiotidis, Theodore, 2021. "Another look at calendar anomalies," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 823-840.
    3. Laurence E. Blose & Vijay Gondhalekar, 2013. "Weekend gold returns in bull and bear markets," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 53(3), pages 609-622, September.

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