Monthly and Semi-Annual Seasonality in the Irish Equity Market 1934-2000

53 Pages Posted: 8 Feb 2002

See all articles by Brian M. Lucey

Brian M. Lucey

Trinity Business School, Trinity College Dublin; University of Sydney Business School; University of Economics Ho Chi Minh City

Shane Whelan

University College Dublin (UCD)

Date Written: January 2002


In a working paper, Jacobsen and Bouman (2002) claim that the old stock market saying of "sell in May and go away but buy back on St Leger Day" produces statistically significant profit when tested on a large database of equity market returns over the last decade, three decades, and even longer periods. A recently published paper, Sullivan, Timmerman and White (2002), dismisses the claim of statistical significance of this or any other calendar-based trading rule, attributing the reported test results to a large data-mining exercise of the academic and financial communities. In this paper we provide an out-of-sample test on the Bouman & Jacobsen strategy and conclude that the reported results are indeed statistically significant. In doing so we re-introduce a reliable index of capital returns on the Irish equity market maintained contemporaneously by the Irish Central Statistical Office (and its forerunner) since January 1934 and which, in its early decades, displays markedly different statistical properties to both the US and UK equity markets of that time and equity market returns generally in recent decades.

As a subsidiary exercise we reconsider the extensive literature on monthly seasonality in equity markets with this novel index and contend that the abnormally high returns, frequently reported in January and April and occasionally in February and other months, are perhaps more accurately and certainly more parsimoniously ascribed to the half-year effect captured in the old stock market adage. The paper also discusses the extent of these calendar effects in the higher moments of the Irish index, and discusses a trading rule derived from same.

Keywords: Ireland, Bayesian Analysis, Efficiency, Trading Rule

JEL Classification: G14

Suggested Citation

Lucey, Brian M. and Whelan, Shane, Monthly and Semi-Annual Seasonality in the Irish Equity Market 1934-2000 (January 2002). Available at SSRN: or

Brian M. Lucey (Contact Author)

Trinity Business School, Trinity College Dublin ( email )

The Sutherland Centre, Level 6, Arts Building
Dublin 2
+353 1 608 1552 (Phone)
+353 1 679 9503 (Fax)

University of Sydney Business School ( email )

Cnr. of Codrington and Rose Streets
Sydney, NSW 2006

University of Economics Ho Chi Minh City ( email )

59C Nguyen D├Čnh Chieu
6th Ward, District 3
Ho Chi Minh City, Ho Chi Minh 70000

Shane Whelan

University College Dublin (UCD) ( email )

Department of Statistics
Dublin 4
+353-1 7167155 (Phone)

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