Market direction and moment seasonality: evidence from Irish equities

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.