The paper investigates whether the asymmetric power GARCH model (APGARCH) introduced by Ding, Granger and Engle (1993) captures the dynamics of the gold market. This paper examines both the cash and futures price of gold and significant economic variables identified during two periods: the 1987...

The pre-holiday behavior 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 on this area, and the result is found across a number of sectoral indices. The analysis also indicates that...

This paper examines the extent, and determinants, of daily seasonality in the Dublin stock exchange over a ten-year period. It is found that there is a daily seasonal pattern in the two main indices. However, this seasonal pattern is mid-week, contrary to the previous research. This mid-week...

This paper provides some evidence on the speculation or hedging motives of traders as extracted from the recent Llorente, et al. (2002) model, for the Irish stock exchange. It is clear that the findings of Llorente, Michaely, Saar and Wang (2002) and Ciner (2003) do not transfer well to the...

The mixture of distributions hypothisis (MDH) suggests that trading volume of shares provides information to share prices and returns. This note examines this, for the first time, in the context of the Irish stock exchange. The evidence is mixed, and only weakly in favour of the MDH. Volume...

We document, for a new dataset, the existence of daily seasonality in the 19th Century. The dataset consists of the trades in 4 equities and 2 bonds in the Dublin stock exchange for the mid 19th century (1850-979). The end of the week shows significantly greater returns than the start of the...

The existence of daily seasonal patterns in the returns to 5 base metals traded on the London Metal Exchange (Aluminium, Copper, Zinc, Lead and Nickel) is examined, using robust methods, over the 1989-2002 period. The paper begins by examining the extent of daily seasonality in asset returns,...

This paper surveys the research on the influence of investor feelings on equity pricing, and also develops a theoretical basis with which to understand the emerging findings of this area. The theoretical basis is developed by reference to research in the fields of economic psychology and...

This paper examines the issue of the fractional dynamics in Irish stock returns. The finding of evidence of fractional dynamics indicates that a long memory process is operational in the series. The paper looks for these dynamics using the Fractional Differencing Model of Geweke and Porter-Hudak...

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, K-W and Levene tests daily seasonality is confirmed in all, although in a pattern different to that found elsewhere. In particular,...