Market direction and moment seasonality: evidence from Irish equities

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.