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Details about Brian M. Lucey

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Workplace:School of Business, Trinity College Dublin, (more information at EDIRC)
Institute for International Integration Studies (IIIS), Trinity College Dublin, (more information at EDIRC)
Ekonomska fakuteta (Faculty of Economics), Univerza v Ljubljani (University of Ljubljana), (more information at EDIRC)

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Last updated 2014-07-14. Update your information in the RePEc Author Service.

Short-id: plu85


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Working Papers

2013

  1. Fuel Hedging, Operational Hedging and Risk Exposure– Evidence from the Global Airline Industry
    The Institute for International Integration Studies Discussion Paper Series, IIIS Downloads
  2. WHAT DO THE IRISH KNOW ABOUT ECONOMICS
    The Institute for International Integration Studies Discussion Paper Series, IIIS Downloads

2012

  1. Culture and capital structure in small and medium sized firms
    The Institute for International Integration Studies Discussion Paper Series, IIIS Downloads
  2. Do Bubbles occur in Gold Prices? Evidence from Gold Lease Rates and Markov Switching Models
    The Institute for International Integration Studies Discussion Paper Series, IIIS Downloads View citations (1)
  3. Forward Exchange Rate Biasedness across Developed and Developing Country Currencies - Do Observed Patterns Persist Out of Sample?Abstract
    The Institute for International Integration Studies Discussion Paper Series, IIIS Downloads
  4. London or New York: where and when does the gold price originate?
    The Institute for International Integration Studies Discussion Paper Series, IIIS Downloads View citations (1)
    See also Journal Article in Applied Economics Letters (2013)
  5. Psychological Barriers and Price Clustering in Energy Futures
    The Institute for International Integration Studies Discussion Paper Series, IIIS Downloads
  6. Risk Tolerance and Demographic Characteristics: Preliminary Irish Evidence
    The Institute for International Integration Studies Discussion Paper Series, IIIS Downloads
  7. What determines the decision to apply for credit? Evidence for Eurozone SMEs
    The Institute for International Integration Studies Discussion Paper Series, IIIS Downloads View citations (1)

2011

  1. Robust Global Stock Market Interdependencies
    The Institute for International Integration Studies Discussion Paper Series, IIIS Downloads View citations (11)
    See also Journal Article in International Review of Financial Analysis (2011)

2009

  1. Does cultural distance matter in international stock market comovement? Evidence from emerging economies around the world
    The Institute for International Integration Studies Discussion Paper Series, IIIS Downloads View citations (3)
    See also Journal Article in Emerging Markets Review (2010)
  2. Emerging Markets Capital Structure and Financial Integration
    The Institute for International Integration Studies Discussion Paper Series, IIIS Downloads
  3. Investigating the Determinants of Banking Coexceedances in Europe in the Summer of 2008
    The Institute for International Integration Studies Discussion Paper Series, IIIS Downloads View citations (1)
    See also Journal Article in Journal of International Financial Markets, Institutions and Money (2010)

2008

  1. An Empirical Study of Multiple Listings
    The Institute for International Integration Studies Discussion Paper Series, IIIS Downloads View citations (1)
  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 Downloads
  3. Emerging Markets Variance Shocks: Local or International in Origin?
    Documentos de Trabajo, Centro de Economía Aplicada, Universidad de Chile Downloads View citations (2)
  4. Impact of US Macroeconomic Surprises on Stock Market Returns in Developed Economies
    The Institute for International Integration Studies Discussion Paper Series, IIIS Downloads View citations (1)
  5. The Macroeconomic Determinants of Volatility in Precious Metals Markets
    The Institute for International Integration Studies Discussion Paper Series, IIIS Downloads View citations (8)
    See also Journal Article in Resources Policy (2010)

2007

  1. 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 Downloads View citations (2)
  2. 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 Downloads View citations (13)
    See also Journal Article in The Financial Review (2010)
  3. Volatility in the Gold Futures Market
    The Institute for International Integration Studies Discussion Paper Series, IIIS Downloads View citations (4)
    See also Journal Article in Applied Economics Letters (2010)

2006

  1. Equity Markets and Economic Development: What Do We Know
    The Institute for International Integration Studies Discussion Paper Series, IIIS Downloads
  2. Financial Contagion in Emerging Markets: Evidence from the Middle East and North Africa
    The Institute for International Integration Studies Discussion Paper Series, IIIS Downloads View citations (1)
  3. Flight-to-quality or Contagion? An EmpiricalAnalysis of Stock-bond correlations
    The Institute for International Integration Studies Discussion Paper Series, IIIS Downloads View citations (11)
  4. Integration Of Smaller European Equity Markets: A Time-Varying Integration Score Analysis
    The Institute for International Integration Studies Discussion Paper Series, IIIS Downloads View citations (1)
  5. Portfolio allocations in the Middle East and North Africa
    The Institute for International Integration Studies Discussion Paper Series, IIIS Downloads
  6. Portfolio management implications of volatility shifts: Evidence from simulated data
    Documentos de Trabajo, Centro de Economía Aplicada, Universidad de Chile Downloads View citations (1)
    Also in The Institute for International Integration Studies Discussion Paper Series, IIIS (2006) Downloads View citations (1)
  7. Situating Middle East and North Africa (MENA) capital markets within the emerging markets universe
    The Institute for International Integration Studies Discussion Paper Series, IIIS Downloads View citations (2)
  8. The Evolution of Interdependence in World Equity Markets - Evidence from Minimum Spanning Trees
    The Institute for International Integration Studies Discussion Paper Series, IIIS Downloads View citations (8)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2007)
  9. The Forward Exchange Rate Bias Puzzle: Evidence from New Cointegration Tests
    The Institute for International Integration Studies Discussion Paper Series, IIIS Downloads

2005

  1. Are Local or International influences responsible for the pre-holiday behaviour of Irish equities?
    The Institute for International Integration Studies Discussion Paper Series, IIIS Downloads View citations (2)
    See also Journal Article in Applied Financial Economics (2005)
  2. CEE Banking Sector Co-Movement: Contagion or Interdependence?
    The Institute for International Integration Studies Discussion Paper Series, IIIS Downloads
    Also in The Institute for International Integration Studies Discussion Paper Series, IIIS (2005) Downloads
  3. Dynamics of Bond Market Integration between Existing And Accession EU Countries
    The Institute for International Integration Studies Discussion Paper Series, IIIS Downloads View citations (7)
  4. 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 Downloads View citations (2)
  5. 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 Downloads
  6. International Portfolio Formation, Skewness & the Role of Gold
    The Institute for International Integration Studies Discussion Paper Series, IIIS Downloads View citations (2)
    See also Journal Article in Frontiers in Finance and Economics (2006)
  7. 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 Downloads
  8. Psychological Barriers in Gold Prices
    The Institute for International Integration Studies Discussion Paper Series, IIIS Downloads View citations (1)
    See also Journal Article in Review of Financial Economics (2007)
  9. Seasonality, Risk And Return In Daily COMEX Gold And Silver Data 1982-2002
    The Institute for International Integration Studies Discussion Paper Series, IIIS Downloads View citations (3)
    See also Journal Article in Applied Financial Economics (2006)
  10. 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 Downloads View citations (4)
  11. The Dynamics of Central European Equity Market Integration
    The Institute for International Integration Studies Discussion Paper Series, IIIS Downloads View citations (6)
  12. 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 Downloads

2004

  1. 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 Downloads View citations (18)
  2. Modelling the term structure of interest rates \'{a} la Heath-Jarrow-Morton but with non Gaussian fluctuations
    Papers, arXiv.org Downloads

Journal Articles

2014

  1. Culture’s influences: An investigation of inter-country differences in capital structure
    Borsa Istanbul Review, 2014, 14, (1), 1-9 Downloads
  2. Learning from the Irish Experience – A Clinical Case Study in Banking Failure
    Comparative Economic Studies, 2014, 56, (2), 295-312 Downloads View citations (1)

2013

  1. An analysis of forward exchange rate biasedness across developed and developing country currencies: Do observed patterns persist out of sample?
    Emerging Markets Review, 2013, 17, (C), 14-28 Downloads View citations (4)
  2. An empirical study of multiple direct international listings
    Global Finance Journal, 2013, 24, (1), 69-84 Downloads View citations (2)
  3. CEO social status and acquisitiveness
    Qualitative Research in Financial Markets, 2013, 5, (2), 161-177 Downloads View citations (2)
  4. Do U.S. macroeconomic surprises influence equity returns? An exploratory analysis of developed economies
    The Quarterly Review of Economics and Finance, 2013, 53, (4), 476-485 Downloads View citations (2)
  5. Do bubbles occur in the gold price? An investigation of gold lease rates and Markov Switching models
    Borsa Istanbul Review, 2013, 13, (3), 53-63 Downloads View citations (9)
  6. Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates
    International Review of Financial Analysis, 2013, 29, (C), 202-211 Downloads View citations (82)
  7. London or New York: where and when does the gold price originate?
    Applied Economics Letters, 2013, 20, (8), 813-817 Downloads View citations (11)
    See also Working Paper (2012)
  8. The structure of gold and silver spread returns
    Quantitative Finance, 2013, 13, (4), 561-570 Downloads View citations (8)

2012

  1. Equity market integration in the Asia Pacific region: Evidence from discount factors
    Research in International Business and Finance, 2012, 26, (2), 137-163 Downloads View citations (4)
  2. Gravity and culture in foreign portfolio investment
    Journal of Banking & Finance, 2012, 36, (2), 525-538 Downloads View citations (25)

2011

  1. Financial integration and emerging markets capital structure
    Journal of Banking & Finance, 2011, 35, (5), 1228-1238 Downloads View citations (7)
  2. Robust global stock market interdependencies
    International Review of Financial Analysis, 2011, 20, (4), 215-224 Downloads View citations (11)
    See also Working Paper (2011)
  3. The Irish Economy: Three Strikes and You’re Out?
    Panoeconomicus, 2011, 58, (1), 19-41 Downloads View citations (13)
  4. The effect of gender on stock price reaction to the appointment of directors: the case of the FTSE 100
    Applied Economics Letters, 2011, 18, (13), 1225-1229 Downloads

2010

  1. Comovements in government bond markets: A minimum spanning tree analysis
    Physica A: Statistical Mechanics and its Applications, 2010, 389, (21), 4875-4886 Downloads View citations (20)
  2. Determinants of capital structure in Irish SMEs
    Small Business Economics, 2010, 35, (3), 357-375 Downloads View citations (19)
  3. Does cultural distance matter in international stock market comovement? Evidence from emerging economies around the world
    Emerging Markets Review, 2010, 11, (1), 62-78 Downloads View citations (23)
    See also Working Paper (2009)
  4. Dynamics of Equity Market Integration in Europe: Impact of Political Economy Events
    Journal of Common Market Studies, 2010, 48, 641-660 Downloads View citations (5)
  5. International financial integration
    Journal of Banking & Finance, 2010, 34, (12), 2837-2837 Downloads View citations (1)
    Also in Journal of Banking & Finance, 2009, 33, (10), 1739-1740 (2009) Downloads
  6. Investigating the determinants of banking coexceedances in Europe in the summer of 2008
    Journal of International Financial Markets, Institutions and Money, 2010, 20, (3), 275-283 Downloads View citations (4)
    See also Working Paper (2009)
  7. Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold
    The Financial Review, 2010, 45, (2), 217-229 Downloads View citations (250)
    See also Working Paper (2007)
  8. Lunar seasonality in precious metal returns?
    Applied Economics Letters, 2010, 17, (9), 835-838 Downloads View citations (6)
  9. The macroeconomic determinants of volatility in precious metals markets
    Resources Policy, 2010, 35, (2), 65-71 Downloads View citations (68)
    See also Working Paper (2008)
  10. Volatility in the gold futures market
    Applied Economics Letters, 2010, 17, (2), 187-190 Downloads View citations (12)
    See also Working Paper (2007)

2009

  1. Flights and contagion--An empirical analysis of stock-bond correlations
    Journal of Financial Stability, 2009, 5, (4), 339-352 Downloads View citations (52)
  2. Shift-contagion Vulnerability in the MENA Stock Markets
    The World Economy, 2009, 32, (10), 1478-1497 Downloads View citations (11)
  3. The Forward Exchange Rate Bias Puzzle Is Persistent: Evidence from Stochastic and Nonparametric Cointegration Tests
    The Financial Review, 2009, 44, (4), 625-645 Downloads View citations (2)

2008

  1. An ever-closer union? Examining the evolution of linkages of European equity markets via minimum spanning trees
    Physica A: Statistical Mechanics and its Applications, 2008, 387, (25), 6319-6329 Downloads View citations (21)
  2. Efficiency in emerging markets--Evidence from the MENA region
    Journal of International Financial Markets, Institutions and Money, 2008, 18, (1), 94-105 Downloads View citations (39)
  3. Halloween or January? Yet another puzzle
    International Review of Financial Analysis, 2008, 17, (5), 1055-1069 Downloads View citations (14)
  4. International influences on asset markets
    Journal of Multinational Financial Management, 2008, 18, (4), 291-292 Downloads
  5. Mood and UK equity pricing
    Applied Financial Economics Letters, 2008, 4, (4), 233-240 Downloads View citations (4)
  6. Reassessing co-movements among G7 equity markets: evidence from iShares
    Applied Financial Economics, 2008, 18, (11), 863-877 Downloads View citations (3)
  7. Robust global mood influences in equity pricing
    Journal of Multinational Financial Management, 2008, 18, (2), 145-164 Downloads View citations (34)
  8. 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 Downloads View citations (14)
  9. Skewness and asymmetry in futures returns and volumes
    Applied Financial Economics, 2008, 18, (10), 777-800 Downloads View citations (1)
  10. The Capital Markets of the Middle East and North African Region: Situation and Characteristics
    Emerging Markets Finance and Trade, 2008, 44, (5), 68-81 Downloads View citations (6)
  11. The dynamics of Central European equity market comovements
    The Quarterly Review of Economics and Finance, 2008, 48, (3), 605-622 Downloads View citations (40)

2007

  1. A power GARCH examination of the gold market
    Research in International Business and Finance, 2007, 21, (2), 316-325 Downloads View citations (67)
  2. A psychological, attitudinal and professional profile of Irish economists
    Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), 2007, 36, (6), 841-855 Downloads
  3. Capital Market Integration in the Middle East and North Africa
    Emerging Markets Finance and Trade, 2007, 43, (3), 34-57 Downloads View citations (13)
  4. Contagion and interdependence: Measuring CEE banking sector co-movements
    Economic Systems, 2007, 31, (1), 71-96 Downloads View citations (9)
  5. Daily seasonality in 19th century stocks -- some evidence from the Dublin stock exchange
    Applied Economics Letters, 2007, 14, (4), 277-282 Downloads
  6. International portfolio diversification: Is there a role for the Middle East and North Africa?
    Journal of Multinational Financial Management, 2007, 17, (5), 401-416 Downloads View citations (27)
  7. Measuring and managing integration: What do we know?
    Journal of Multinational Financial Management, 2007, 17, (4), 273-274 Downloads
  8. Portfolio management under sudden changes in volatility and heterogeneous investment horizons
    Physica A: Statistical Mechanics and its Applications, 2007, 375, (2), 612-624 Downloads View citations (14)
  9. Psychological barriers in gold prices?
    Review of Financial Economics, 2007, 16, (2), 217-230 Downloads View citations (34)
    See also Working Paper (2005)
  10. The evolution of interdependence in world equity markets—Evidence from minimum spanning trees
    Physica A: Statistical Mechanics and its Applications, 2007, 376, (C), 455-466 Downloads View citations (32)
    See also Working Paper (2006)

2006

  1. 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 Downloads View citations (38)
  2. International Portfolio Formation, Skewness & the Role of Gold
    Frontiers in Finance and Economics, 2006, 3, (1), 49-68 Downloads View citations (12)
    See also Working Paper (2005)
  3. Investigating the determinants of the Wednesday seasonal in Irish Equities
    Research in International Business and Finance, 2006, 20, (1), 62-76 Downloads View citations (1)
  4. 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 Downloads View citations (3)
  5. Real and financial aspects of financial integration
    The Quarterly Review of Economics and Finance, 2006, 46, (3), 315-316 Downloads View citations (1)
  6. Seasonality, risk and return in daily COMEX gold and silver data 1982-2002
    Applied Financial Economics, 2006, 16, (4), 319-333 Downloads View citations (18)
    See also Working Paper (2005)
  7. 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 Downloads View citations (15)

2005

  1. Are local or international influences responsible for the pre-holiday behaviour of Irish equities?
    Applied Financial Economics, 2005, 15, (6), 381-389 Downloads View citations (2)
    See also Working Paper (2005)
  2. Does volume provide information? Evidence from the Irish Stock Market
    Applied Financial Economics Letters, 2005, 1, (2), 105-109 Downloads View citations (3)
  3. Speculation or hedging in the Irish stock exchange
    Applied Financial Economics Letters, 2005, 1, (1), 9-14 Downloads View citations (2)
  4. The Role of Feelings in Investor Decision-Making
    Journal of Economic Surveys, 2005, 19, (2), 211-237 Downloads View citations (37)
  5. Weather, biorhythms, beliefs and stock returns--Some preliminary Irish evidence
    International Review of Financial Analysis, 2005, 14, (3), 337-355 Downloads View citations (24)
  6. Why investors should not be cautious about the academic approach to testing for stock market anomalies
    Applied Financial Economics, 2005, 15, (3), 165-171 Downloads View citations (6)

2004

  1. International equity market integration: Theory, evidence and implications
    International Review of Financial Analysis, 2004, 13, (5), 571-583 Downloads View citations (52)
  2. Monthly and semi-annual seasonality in the Irish equity market 1934-2000
    Applied Financial Economics, 2004, 14, (3), 203-208 Downloads View citations (5)
  3. Robust estimates of daily seasonality in the Irish equity market
    Applied Financial Economics, 2004, 14, (7), 517-523 Downloads View citations (3)

2003

  1. An Analysis of the Journal Article Output of Irish-based Economists, 1970 to 2001
    The Economic and Social Review, 2003, 34, (2), 109-143 Downloads View citations (4)

2002

  1. Market direction and moment seasonality: evidence from Irish equities
    Applied Economics Letters, 2002, 9, (10), 657-664 Downloads View citations (1)

2001

  1. Friday the 13th: international evidence
    Applied Economics Letters, 2001, 8, (9), 577-579 Downloads View citations (3)
  2. Irish economic association
    Economics Bulletin, 2001, 28, (57), A0 Downloads
  3. Preholiday calendar regularities in Ireland
    Atlantic Economic Journal, 2001, 29, (4), 472-472 Downloads

2000

  1. Anomalous daily seasonality in Ireland?
    Applied Economics Letters, 2000, 7, (10), 637-640 Downloads View citations (7)
  2. Friday the 13th and the philosophical basis of financial economics
    Journal of Economics and Finance, 2000, 24, (3), 294-301 Downloads View citations (4)

Editor

  1. International Review of Financial Analysis
    Elsevier
 
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