Monthly and semi-annual seasonality in the Irish equity market 1934–2000

Lucey, Brian M.; Whelan, Shane

doi:10.1080/096031042000187397

Cited by 18 publications

(8 citation statements)

References 30 publications

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“…Jaffe and Westerfield (1989) extend Ariel's (1987) work for four other countries and report a weak evidence for his results. Lucey and Whelan (2004) investigate the Irish equity market over 1934-2004 and report a strong and constant January effect. Rendon and Ziemba (2007) find that the January effect is still alive in the futures markets from 1982 to 2004 period.…”

Section: Indian Currency Marketmentioning

confidence: 99%

Do the calendar anomalies still exist? Evidence from Indian currency market

Kumar

Pathak

2016

Managerial Finance

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Purpose – The purpose of this paper is to examine the presence of the day-of-the-week (DOW) and January effect in the Indian currency market for selected currency pairs; USD-(Indian rupee) INR, EUR-INR, GBP-INR and JPY-INR, from January, 1999 to December, 2014. Design/methodology/approach – Ordinary least square regression analysis is used to examine the presence of DOW and January effect to test the efficiency of the Indian currency market. The sample period is later divided into two sub-periods, that is, pre- and post-2008 to capture the behavior of returns before and after the 2008 financial crisis. Further, the authors also use the non-parametric technique, the Kruskal-Wallis test, to provide robustness check for the results. Findings – The results indicate that the returns during Monday to Wednesday are positive and higher than the returns on Thursday and Friday which show negative returns. The returns during January are found to be higher than the returns during rest of the year. Further, all currencies exhibit significant DOW and January effects in pre-crisis period, however, post-crisis; these effects disappear for all currencies indicating that the markets have become more efficient in the later time. The findings can be further attributed to the increased intervention in the forex markets by the Reserve Bank of India after the crisis. Practical implications – The results have important implications for both traders and investors. The findings suggest that the investors might not be able to earn excess profits by timing their positions in some particular currencies taking the advantage of DOW or January effect which in turn indicates that the currency markets have become more efficient with time. The results are in conformity with those reported for the developed markets. The results might be appealing to the practitioners as well in a way that they can consider the state of financial market for financial decision making. Originality/value – The authors provide the first study to examine the calendar anomalies (DOW and January effect) across a range of emerging currencies using 16 years of data from January, 1999 to December, 2014. To the best of the authors’ knowledge, no study has yet examined these calendar anomalies in the currency markets using data which covers two important periods, pre-2008 and post-2008.

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Section: Indian Currency Marketmentioning

confidence: 99%

Do the calendar anomalies still exist? Evidence from Indian currency market

Kumar

Pathak

2016

Managerial Finance

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“…The F-statistic is generally in favour of overall seasonality, being a joint test of equality of the coefficients to each other and zero and this being rejected at the 10% level in all cases and in four out of five at the 1% level. 2 It is instructive however to note that the Kruskal-Wallis H-statistic is not in agreement with the F-stat., a feature that is common to later Irish studies, such as Lucey (2004) and Lucey and Whelan (2004). The day with the largest return is in all cases significant, whereas this is not the case for the lowest returns.…”

Section: Shown Inmentioning

confidence: 56%

Daily seasonality in 19th century stocks -- some evidence from the Dublin stock exchange

Hope

Lucey

2007

Applied Economics Letters

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“…This may tilt results in favour of better performing entities, because underperforming funds are more likely to exit the market (Lai & Wang, 2016) and the merging of funds may be connected with unsatisfactory perfromance (Wang & Huang, 2013). Finally, given that the NAVs of the funds depend on the prices of the underlying holdings such as stocks, the former are prone to unaccounted-for factors such as stock price seasonality (Camilleri, 2008;Lucey& Whelan, 2004), and non-synchronous trading effects (Day & Wang, 2002;Camilleri & Green, 2014).…”

Section: Resultsmentioning

confidence: 99%

The Risk-Adjusted Performance of Alternative Investment Funds and UCITS: A Comparative Analysis

Camilleri¹,

Farrugia²

2018

IJEF

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This study evaluates the performance of a selection of Alternative Investment Funds (AIFs), and Undertakings for Collective Investment in Transferable Securities Funds (UCITS) which followed a global geographic focus strategy during the period 2010-2016. These two fund structures are governed by different regulatory frameworks, which have evolved and re-shaped over the years. Various yardsticks are employed to evaluate the risk-adjusted performance of the sampled funds, and Monte-Carlo simulations are used to gauge the possible out-of-sample returns. Most of the sampled funds underperformed the benchmark index in terms of their Sharpe and Treynor ratios. Whilst UCITS registered a better overall performance, AIFs outperformed UCITS towards the end of the sample period. This suggests that investors should not assume that one fund structure is inherently superior to the other, since the relative performance may vary over time.

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Monthly and semi-annual seasonality in the Irish equity market 1934–2000

Cited by 18 publications

References 30 publications

Do the calendar anomalies still exist? Evidence from Indian currency market

Do the calendar anomalies still exist? Evidence from Indian currency market

Daily seasonality in 19th century stocks -- some evidence from the Dublin stock exchange

The Risk-Adjusted Performance of Alternative Investment Funds and UCITS: A Comparative Analysis

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