Abstract
This paper examines the extent, and determinants, of daily seasonality in the Dublin stock exchange over a 10-year period. The Dublin market provides an interesting institutional setting over this period, with changes in settlement regimes and other features that make it a fruitful ground for examination of such seasonality. Although there is a daily seasonal, this pattern is unusual in that it is mid week, contrary to the previous research. Previous research on smaller equity markets has seen slightly different evidence of daily seasonality compared to major markets and this paper confirms the same. The paper then investigates the source of this seasonality—many of the previously adduced theories emerge from the stylised facts of larger markets, and these may not be immediately transferable to smaller markets. This mid-week seasonality appears, on investigation, to differ in its source as between financial and other firms. Financial firms appear to react to macroeconomic news and non-financial to firm specific news, albeit weakly. No support for microstructural hypotheses of daily seasonality is found.
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