Abstract
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 week. The evidence also indicates that the returns were not independent, and that daily seasonality in variance also exists, the overall impression being one that is not favourable towards the efficient markets hypothesis.
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