The ability of investors to implement seasonal strategies implied by academic papers has been widely criticized, most recently by Hudson et al. (Applied Financial Economics, 12, 681-86, 2002). This paper addresses these concerns, and provides an example of a strategy derived from academic papers...

In this article we investigate the distribution of futures market returns and volumes. A variety of contracts are selected from agriculture, foreign exchange, industrial, equity and interest rate market sectors. Tests of normality indicate that all daily returns and daily volumes are not...

The pre-holiday behaviour of equity price and return indices on the Irish Stock Exchange do not display consistent positive pre-holiday returns. This is contrary to the majority of studies in this area, and the result is found across a number of sectoral indices. The analysis also indicates that...

This paper examines the monthly and semi-annual behaviour of the Irish equity market in the long term. Little has previously been written about the Irish market, and such work as has been undertaken has confined examination to relatively short time spans. The paper finds, over the 1934-2000...

This study examines seasonality in the conditional and unconditional mean and variance of daily gold and silver contracts over the 1982-2002 periods. Using COMEX cash and futures data, we find that the evidence is weak for the mean but strong for the variance. There appears to be a negative...

iShares funds are products designed to mimic the movements of MSCI stock market indices. Being devoid of problems associated with trading restrictions, exchange-rate fluctuations and non-synchronous trading, iShares data are better suited for measuring equity-market co-movements and the...

This article examines, in a robust manner, the question of whether or not an unusual form of daily seasonality existed in the Irish market. Previous studies have indicated that the pattern of such seasonality in Ireland differs from that found elsewhere. Other research indicates that daily...