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

Abstract

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 period, a strong and persistent monthly effect with a January peak, as well as evidence of April and half-year seasonality.

Notes

¹ Although this is by no means the case always, as evidence from a number of South East Asian markets as shown in Ho (1990) and Elyasiani et al. (1996) and Cheung et al. (1994) indicates that January is not always the month with the highest return.

² Using Cowles Commission indices.