How Robust is the Daily Seasonal in Irish Equities?

Abstract

This paper examines, in a statistically robust manner, the question of whether daily seasonality exists in the Irish market. The paper starts with a brief literature review, and a rather longer discussion of the particular methodological challenges such investigations pose. These challenges are, it is hoped, faced and, partially at least, overcome in the remainder of the paper. The findings are that after adjusting for sample size and taking into account the non-normality of the data, the evidence for daily seasonality in the Irish market is much reduced, although not eliminated. The paper goes beyond previous work in its analysis of the second and higher moments, again employing robust and statistically appropriate methods. Evidence is provided of daily seasonality in the second and higher moments that mirror only partially the evidence in the lower moment.