Details about Brian M. Lucey

Access statistics for papers by Brian M. Lucey.

Last updated 2009-10-19. Update your information in the RePEc Author Service.

Short-id: plu85

Working Papers

2008

1. An Empirical Study of Multiple Listings
   The Institute for International Integration Studies Discussion Paper Series, IIIS
2. Comparing Garman-Klass and DU Volatility and Symmetry Measures in Intraday Futures Returns and Volumes: A Vector Autoregression Analysis
   The Institute for International Integration Studies Discussion Paper Series, IIIS
3. Emerging Markets Variance Shocks: Local or International in Origin?
   Documentos de Trabajo, Centro de Economía Aplicada, Universidad de Chile
4. Impact of US Macroeconomic Surprises on Stock Market Returns in Developed Economies
   The Institute for International Integration Studies Discussion Paper Series, IIIS
5. The Macroeconomic Determinants of Volatility in Precious Metals Markets
   The Institute for International Integration Studies Discussion Paper Series, IIIS

2007

6. An Ever Closer Union? Examining The Evolution Of The Integration Of European Equity Markets Via Minimum Spanning Trees
   The Institute for International Integration Studies Discussion Paper Series, IIIS
7. Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold
   The Institute for International Integration Studies Discussion Paper Series, IIIS
8. Volatility in the Gold Futures Market
   The Institute for International Integration Studies Discussion Paper Series, IIIS

2006

9. Contagion and interdependence: measuring CEE banking sector co-movements
   Research Discussion Papers, Bank of Finland View citations
   See also Journal Article in Economic Systems (2007)
10. Equity Markets and Economic Development: What Do We Know
    The Institute for International Integration Studies Discussion Paper Series, IIIS
11. Financial Contagion in Emerging Markets: Evidence from the Middle East and North Africa
    The Institute for International Integration Studies Discussion Paper Series, IIIS
12. Flight-to-quality or Contagion? An EmpiricalAnalysis of Stock-bond correlations
    The Institute for International Integration Studies Discussion Paper Series, IIIS View citations
13. Integration Of Smaller European Equity Markets: A Time-Varying Integration Score Analysis
    The Institute for International Integration Studies Discussion Paper Series, IIIS
14. Portfolio allocations in the Middle East and North Africa
    The Institute for International Integration Studies Discussion Paper Series, IIIS
15. Portfolio management implications of volatility shifts: Evidence from simulated data
    The Institute for International Integration Studies Discussion Paper Series, IIIS
    Also in Documentos de Trabajo, Centro de Economía Aplicada, Universidad de Chile (2006)
16. Situating Middle East and North Africa (MENA) capital markets within the emerging markets universe
    The Institute for International Integration Studies Discussion Paper Series, IIIS
17. The Evolution of Interdependence in World Equity Markets - Evidence from Minimum Spanning Trees
    The Institute for International Integration Studies Discussion Paper Series, IIIS
18. The Forward Exchange Rate Bias Puzzle: Evidence from New Cointegration Tests
    The Institute for International Integration Studies Discussion Paper Series, IIIS

2005

19. Are Local or International influences responsible for the pre-holiday behaviour of Irish equities?
    The Institute for International Integration Studies Discussion Paper Series, IIIS
    See also Journal Article in Applied Financial Economics (2005)
20. CEE Banking Sector Co-Movement: Contagion or Interdependence?
    The Institute for International Integration Studies Discussion Paper Series, IIIS
    Also in The Institute for International Integration Studies Discussion Paper Series, IIIS (2005)
21. Dynamics of Bond Market Integration between Existing And Accession EU Countries
    The Institute for International Integration Studies Discussion Paper Series, IIIS View citations
22. Dynamics of Equity Markets Integration in Europe: Evidence of Change with Events and over Time
    Money Macro and Finance (MMF) Research Group Conference 2005, Money Macro and Finance Research Group
23. Equity market integration in the Middle East and North Africa: in search for diversification benefits
    The Institute for International Integration Studies Discussion Paper Series, IIIS
24. International Portfolio Formation, Skewness & the Role of Gold
    The Institute for International Integration Studies Discussion Paper Series, IIIS View citations
    See also Journal Article in Frontiers in Finance and Economics (2006)
25. Linkages and relationships between Emerging European and Developed Stock Markets before and after the Russian Crisis of 1997-1998
    The Institute for International Integration Studies Discussion Paper Series, IIIS
26. Psychological Barriers in Gold Prices
    The Institute for International Integration Studies Discussion Paper Series, IIIS
    See also Journal Article in Review of Financial Economics (2007)
27. Russian equity market linkages before and after the 1998 crisis: Evidence from time-varying and stochastic cointegration tests
    BOFIT Discussion Papers, Bank of Finland, Institute for Economies in Transition
28. Seasonality, Risk And Return In Daily COMEX Gold And Silver Data 1982-2002
    The Institute for International Integration Studies Discussion Paper Series, IIIS
    See also Journal Article in Applied Financial Economics (2006)
29. Stock Market Predictability in the MENA: Evidence from New Variance Ratio Tests and Technical Trade Analysis
    The Institute for International Integration Studies Discussion Paper Series, IIIS
30. The Evolving Relationship between Gold and Silver 1978-2002: Evidence from a Dynamic Cointegration Analysis: A Note Crisis of 1997-1998
    The Institute for International Integration Studies Discussion Paper Series, IIIS

2004

31. Dynamics of Equity Market Integration in Europe: Evidence of Changes over time and with events
    The Institute for International Integration Studies Discussion Paper Series, IIIS View citations
32. Modelling the term structure of interest rates \'{a} la Heath-Jarrow-Morton but with non Gaussian fluctuations
    Quantitative Finance Papers, arXiv.org

Journal Articles

2009

1. International financial integration
   Journal of Banking & Finance, 2009, 33, (10), 1739-1740

2008

2. A RANDOM-MATRIX-THEORY-BASED ANALYSIS OF STOCKS OF MARKETS FROM DIFFERENT COUNTRIES
   Advances in Complex Systems (ACS), 2008, 11, (05), 655-668
3. Efficiency in emerging markets--Evidence from the MENA region
   Journal of International Financial Markets, Institutions and Money, 2008, 18, (1), 94-105
4. Halloween or January? Yet another puzzle
   International Review of Financial Analysis, 2008, 17, (5), 1055-1069
5. International influences on asset markets
   Journal of Multinational Financial Management, 2008, 18, (4), 291-292
6. Mood and UK equity pricing
   Applied Financial Economics Letters, 2008, 4, (4), 233-240
7. Reassessing co-movements among G7 equity markets: evidence from iShares
   Applied Financial Economics, 2008, 18, (11), 863-877
8. Robust global mood influences in equity pricing
   Journal of Multinational Financial Management, 2008, 18, (2), 145-164
9. Russian equity market linkages before and after the 1998 crisis: Evidence from stochastic and regime-switching cointegration tests
   Journal of International Money and Finance, 2008, 27, (8), 1303-1324
10. Skewness and asymmetry in futures returns and volumes
    Applied Financial Economics, 2008, 18, (10), 777-800
11. The Capital Markets of the Middle East and North African Region: Situation and Characteristics
    Emerging Markets Finance and Trade, 2008, 44, (5), 68-81
12. The dynamics of Central European equity market comovements
    The Quarterly Review of Economics and Finance, 2008, 48, (3), 605-622 View citations

2007

13. A power GARCH examination of the gold market
    Research in International Business and Finance, 2007, 21, (2), 316-325
14. A psychological, attitudinal and professional profile of Irish economists
    The Journal of Socio-Economics, 2007, 36, (6), 841-855
15. Capital Market Integration in the Middle East and North Africa
    Emerging Markets Finance and Trade, 2007, 43, (3), 34-57 View citations
16. Contagion and interdependence: Measuring CEE banking sector co-movements
    Economic Systems, 2007, 31, (1), 71-96 View citations
    See also Working Paper (2006)
17. Daily seasonality in 19th century stocks -- some evidence from the Dublin stock exchange
    Applied Economics Letters, 2007, 14, (4-6), 277-282
18. International portfolio diversification: Is there a role for the Middle East and North Africa?
    Journal of Multinational Financial Management, 2007, 17, (5), 401-416
19. Measuring and managing integration: What do we know?
    Journal of Multinational Financial Management, 2007, 17, (4), 273-274
20. Psychological barriers in gold prices?
    Review of Financial Economics, 2007, 16, (2), 217-230
    See also Working Paper (2005)

2006

21. Dynamics of bond market integration between established and accession European Union countries
    Journal of International Financial Markets, Institutions and Money, 2006, 16, (1), 41-56 View citations
22. International Portfolio Formation, Skewness & the Role of Gold
    Frontiers in Finance and Economics, 2006, 3, (1), 49-68
    See also Working Paper (2005)
23. Investigating the determinants of the Wednesday seasonal in Irish Equities
    Research in International Business and Finance, 2006, 20, (1), 62-76
24. Measuring and assessing the effects and extent of international bond market integration
    Journal of International Financial Markets, Institutions and Money, 2006, 16, (1), 1-3
25. Real and financial aspects of financial integration
    The Quarterly Review of Economics and Finance, 2006, 46, (3), 315-316
26. Seasonality, risk and return in daily COMEX gold and silver data 1982--2002
    Applied Financial Economics, 2006, 16, (4), 319-333
    See also Working Paper (2005)
27. The evolving relationship between gold and silver 1978--2002: evidence from a dynamic cointegration analysis: a note
    Applied Financial Economics Letters, 2006, 2, (1), 47-53

2005

28. Are local or international influences responsible for the pre-holiday behaviour of Irish equities?
    Applied Financial Economics, 2005, 15, (6), 381-389
    See also Working Paper (2005)
29. Does volume provide information? Evidence from the Irish Stock Market
    Applied Financial Economics Letters, 2005, 1, (2), 105-109
30. Speculation or hedging in the Irish stock exchange
    Applied Financial Economics Letters, 2005, 1, (1), 9-14 View citations
31. The Role of Feelings in Investor Decision-Making
    Journal of Economic Surveys, 2005, 19, (2), 211-237 View citations
32. Weather, biorhythms, beliefs and stock returns--Some preliminary Irish evidence
    International Review of Financial Analysis, 2005, 14, (3), 337-355
33. Why investors should not be cautious about the academic approach to testing for stock market anomalies
    Applied Financial Economics, 2005, 15, (3), 165-171

2004

34. International equity market integration: Theory, evidence and implications
    International Review of Financial Analysis, 2004, 13, (5), 571-583 View citations
35. Monthly and semi-annual seasonality in the Irish equity market 1934-2000
    Applied Financial Economics, 2004, 14, (3), 203-208
36. Robust estimates of daily seasonality in the Irish equity market
    Applied Financial Economics, 2004, 14, (7), 517-523

2003

37. An Analysis of the Journal Article Output of Irish-based Economists, 1970 to 2001
    The Economic and Social Review, 2003, 34, (2), 109-143 View citations

2002

38. Market Direction and Moment Seasonality: Evidence from Irish Equities
    Applied Economics Letters, 2002, 9, (10), 657-64

2001

39. Friday the 13th: International Evidence
    Applied Economics Letters, 2001, 8, (9), 577-79
40. Preholiday calendar regularities in Ireland
    Atlantic Economic Journal, 2001, 29, (4), 472-472

2000

41. Anomalous Daily Seasonality in Ireland?
    Applied Economics Letters, 2000, 7, (10), 637-40 View citations