Published Research

Introduction

I have published a large number of papers on a variety of areas.  Below please find a list of research papers, in chronological order.  Where possible I have included a link to download a PDF version of this paper is, but this is not the case for all as you will appreciate.  research over the years has been in a number of areas: precious metals, behavioural finance, international financial integration, international finance, and a number of publications in econophysics

JOURNAL ARTICLES

  1. Lucey, Brian M. (1988), ‘Efficiency in the Forward Exchange Market: An Application of Cointegration’, Economic and Social Review, 20 (1), 25-36.
  2. Lucey, Brian M. (1989), ‘Efficiency in the Forward Exchange Market: An Application of Co-Integration: Reply’, Economic and Social Review, 20 (3), 286-87
  3. Brian M. (1989), ‘The Real Wage Gap and Its Development over Time: The Irish Experience 1960-87: A Comment’, Economic and Social Review, 21 (1), 103-05.
  4. Lucey, Brian M. (1989), ‘Tests for the Macroeconomic Effects of Large-Scale Migration Based on the Irish Experience, 1948-87: A Comment’,Economic and Social Review, 20 (3), 274-77.
  5. Lucey, Brian M. (1993), ‘Profits, Efficiency and Irish Banks’, Journal of the Statistical and Social Inquiry Society of Ireland, 27 (1), 31-73. DOWNLOAD (warning: 2mb file…)
  6. Lucey, Brian M. and Quinn, Terence P. (1993), ‘The EC and BIS Risk Weighted Capital Adequacy Measures: A Critical Analysis’, Irish Business and Administrative Research, 14 (2),  DOWNLOAD
  7. Lucey, Brian M. (1994), ‘Some Empirics of the ISEQ Index’, Economic and Social Review, 25 (2), 157-77.
  8. Lucey, Brian M., McCabe, Patrick, and McHugh, Gerard (1995), ‘An Analysis of the Investment Appraisal Practices of Irish Companies’, Irish Business and Administrative Research, 16, 101-114. DOWNLOAD
  9. Lucey, Brian M. (1996), ‘Examining the Profit-Efficiency Relationship in Irish Credit Institutions’, Irish Business and Administrative Research, 17, 110. DOWNLOAD
  10. Lucey, Brian M. (1996), ‘All About Eva’, Irish Banking Review,  (Winter), 43-52.
  11. Lucey, Brian M. (1998), ‘Business Student Perceptions of Favourite and Effective Instructors: Do They Differ?’ Irish Business and Administrative Research, 19/20 (1), 90-99. DOWNLOAD
  12. Lucey, Brian M. (2000), ‘Anomalous Daily Seasonality in Ireland?’ Applied Economics Letters, 7 (10), 637-40.
  13. Lucey, Brian M. (2000), ‘Friday the 13th and the Philosophical Basis of Financial Economics’, Journal of Economics and Finance, 24 (3), 294-301. DOWNLOAD
  14. Lucey, Brian M. (2001), ‘Preholiday Calendar Regularities in Ireland’,Atlantic Economic Journal, 29 (4), 472.
  15. Lucey, Brian M. (2001), ‘Friday the 13th: International Evidence’, Applied Economics Letters, 8 (9), 577-79. DOWNLOAD
  16. Lucey, Brian M. and Whelan, Shane (2002), ‘A Promising Timing Strategy in Equity Markets: Ireland 1934-2000′, Journal of the Statistical and Social Inquiry Society of Ireland, 31, 74-110. DOWNLOAD
  17. Lucey, Brian M. (2002), ‘Market Direction and Moment Seasonality: Evidence from Irish Equities’, Applied Economics Letters, 9 (10), 657-64. DOWNLOAD
  18. Barrett, Alan and Lucey, Brian M. (200), ‘An Analysis of the Journal Article Output of Irish-Based Economists, 1970 to 2001′, Economic and Social Review, 34 (2), 109-43.
  19. Kearney, Colm and Lucey, Brian M. (2004), ‘International Equity Market Integration: Theory, Evidence and Implications’, International Review of Financial Analysis, 13 (5), 571-83. DOWNLOAD
  20. Lucey, Brian. M., & Whelan, S. (2004). Monthly and semi-annual seasonality in the irish equity market 1934-2000. Applied Financial Economics, 14(3), 203-208 DOWNLOAD
  21. Lucey, Brian M. (2004), ‘Robust Estimates of Daily Seasonality in the Irish Equity Market’, Applied Financial Economics, 14 (7), 517-23. DOWNLOAD 
  22. Dowling, Michael and Lucey, Brian M. (2005), ‘Weather, Biorhythms, Beliefs and Stock Returns–Some Preliminary Irish Evidence’, International Review of Financial Analysis, 14 (3), 337-55. DOWNLOAD 
  23. Lucey, Brian M. and Pardo, Angel (2005), ‘Why Investors Should Not Be Cautious About the Academic Approach to Testing for Stock Market Anomalies’, Applied Financial Economics, 15 (3), 165-71. DOWNLOAD
  24. Lucey, Brian M. (2005), ‘Does Volume Provide Information? Evidence from the Irish Stock Market’, Applied Financial Economics Letters, 1 (2), 105-09.
  25. Lucey, Brian M. (2005), ‘Are Local or International Influences Responsible for the Pre-Holiday Behaviour of Irish Equities?’ Applied Financial Economics, 15 (6), 381-89. DOWNLOAD
  26. Lucey, Brian M. and Dowling, Michael (2005), ‘The Role of Feelings in Investor Decision-Making’, Journal of Economic Surveys, 19 (2), 211-37. DOWNLOAD
  27. Lucey, Brian M. (2005), ‘Speculation or Hedging in the Irish Stock Exchange’, Applied Financial Economics Letters, 1 (1), 9-14.
  28. Birg, Grigory and Lucey, Brian M. (2006), ‘Integration of Smaller European Equity Markets: A Time-Varying Integration Score Analysis’, Applied Financial Economics Letters, 2 (6), 395-400. DOWNLOAD
  29. Kim S, Lucey Brian M , Wu E.  (2006) Dynamics of Bond Market Integration between Established and Accession European Union Countries. Journal of International Financial Markets, Institutions and Money  February 2006;16(1):41-56. DOWNLOAD
  30. Lucey, Brian M., Poti, Valerio, and Tully, Edel (2006), ‘International Portfolio Formation, Skewness and the Role of Gold’, Frontiers in Finance and Economics, 3 (1), 49-68.
  31. Lucey, Brian M. and Tully, Edel (2006), ‘Seasonality, Risk and Return in Daily Comex Gold and Silver Data 1982-2002′, Applied Financial Economics, 16 (4), 319-33. DOWNLOAD
  32. Lucey, Brian M. (2006), ‘Investigating the Determinants of the Wednesday Seasonal in Irish Equities’, Research in International Business and Finance,20 (1), 62-76. DOWNLOAD
  33. Lucey, Brian M. and Tully, Edel (2006), ‘The Evolving Relationship between Gold and Silver 1978-2002: Evidence from a Dynamic Cointegration Analysis: A Note’, Applied Financial Economics Letters, 2 (1), 47-53. DOWNLOAD
  34. Aggarwal, Raj and Lucey, Brian M. (2007), ‘Psychological Barriers in Gold Prices?’ Review of Financial Economics, 16 (2), 217-30. DOWNLOAD
  35. Coelho, Ricardo, Hutzler, S.,  Lucey, Brian M. and Richmond, Peter (2007), ‘The Evolution of Interdependence in World Equity Markets-Evidence from Minimum Spanning Trees’, Physica A: Statistical Mechanics and its Applications, 376 (1-2), 455-66. DOWNLOAD
  36. Fernandez, Viviana and Lucey, Brian M. (2007), ‘Portfolio Management under Sudden Changes in Volatility and Heterogeneous Investment Horizons’, Physica A: Statistical Mechanics and its Applications, 375 (2), 612-24. DOWNLOAD
  37. Hope, Edward and Lucey, Brian M. (2007), ‘Daily Seasonality in 19th Century Stocks–Some Evidence from the Dublin Stock Exchange’, Applied Economics Letters, 14 (4-6), 277-82. DOWNLOAD
  38. Hope, Edward and Lucey, Brian M. (2007), ‘Daily Seasonality in 19th Century Stocks – Some Evidence from the Dublin Stock Exchange’, Applied Economics Letters, 14 (4), 277-82.
  39. Jokipii, Terhi and Lucey, Brian M. (2007), ‘Contagion and Interdependence: Measuring Cee Banking Sector Co-Movements’,Economic Systems, 31 (1), 71-96. DOWNLOAD
  40. Lagoarde-Segot, Thomas and Lucey, Brian M. (2007), ‘International Portfolio Diversification: Is There a Role for the Middle East and North Africa?’ Journal of Multinational Financial Management, 17 (5), 401-16. DOWNLOAD
  41. Lagoarde-Segot, Thomas and Lucey, Brian M. (2007), ‘Capital Market Integration in the Middle East and North Africa’, Emerging Markets Finance and Trade, 43 (3), 34-57.
  42. Lucey, Brian M. and Delaney, Liam (2007), ‘A Psychological, Attitudinal and Professional Profile of Irish Economists’, Journal of Socio-Economics,36 (6), 841-55. DOWNLOAD
  43. Tully, Edel and Lucey, Brian M. (2007), ‘A Power GARCH Examination of the Gold Market’, Research in International Business and Finance, 21 (2), 316-25. DOWNLOAD
  44. Barari, Mahu, Lucey, Brian M., and Voronkova, Svitlana (2008), ‘Reassessing Co-Movements among G7 Equity Markets: Evidence from Ishares’, Applied Financial Economics, 18 (11), 863-77. DOWNLOAD
  45. Chelley-Steeley, Patricia and Lucey, Brian (2008), ‘The Microstructure of the Irish Stock Market’, Multinational Finance Journal 12 (3/4), 279-311. DOWNLOAD
  46. Coelho, Ricardo, Hutzler, S.,  Lucey, Brian M. and Richmond, Peter (2008), ‘A Random-Matrix-Theory-Based Analysis of Stocks of Markets from Different Countries’, Advances in Complex Systems, 11 (5), 655-68. DOWNLOAD
  47. Dowling, Michael and Lucey, Brian M. (2008), ‘Robust Global Mood Influences in Equity Pricing’, Journal of Multinational Financial Management, 18 (2), 145-64. DOWNLOAD
  48. Dowling, Michael and Lucey, Brian M. (2008), ‘Mood and UK Equity Pricing’, Applied Financial Economics Letters, 4 (4), 233-40. DOWNLOAD
  49. Eastman, Alex and Lucey, Brian M. (2008), ‘Skewness and Asymmetry in Futures Returns and Volumes’, Applied Financial Economics, 18 (10), 777-800. DOWNLOAD
  50. Gilmore, Claire G., Lucey, Brian M., and Boscia, Marian (2008), ‘An Ever-Closer Union? Examining the Evolution of Linkages of European Equity Markets Via Minimum Spanning Trees’, Physica A: Statistical Mechanics and its Applications, 387 (25), 6319-29. DOWNLOAD
  51. Gilmore, Claire G., Lucey, Brian M., and McManus, Ginette M. (2008), ‘The Dynamics of Central European Equity Market Comovements’, Quarterly Review of Economics and Finance, 48 (3), 605-22. DOWNLOAD
  52. Lagoarde-Segot, Thomas and Lucey, Brian M. (2008), ‘The Capital Markets of the Middle East and North African Region: Situation and Characteristics’, Emerging Markets Finance and Trade, 44 (5), 68-81. DOWNLOAD
  53. Lagoarde-Segot, Thomas and Lucey, Brian M. (2008), ‘Efficiency in Emerging Markets–Evidence from the Mena Region’, Journal of International Financial Markets, Institutions and Money, 18 (1), 94-105. DOWNLOAD
  54. Lucey, Brian M. and Voronkova, Svitlana (2008), ‘Russian Equity Market Linkages before and after the 1998 Crisis: Evidence from Stochastic and Regime-Switching Cointegration Tests’, Journal of International Money and Finance, 27 (8), 1303-24. DOWNLOAD
  55. Lucey, Brian M.. and Zhao, Shelly (2008), ‘Halloween or January? Yet Another Puzzle’, International Review of Financial Analysis, 17 (5), 1055-69. DOWNLOAD
  56. Aggarwal, Raj, Lucey, Brian M., and Mohanty, Sunil K. (2009), ‘The Forward Exchange Rate Bias Puzzle Is Persistent: Evidence from Stochastic and Nonparametric Cointegration Tests’, Financial Review, 44 (4), 625-45. DOWNLOAD
  57. Baur, Dirk G. and Lucey, Brian M. (2009), ‘Flights and Contagion-an Empirical Analysis of Stock-Bond Correlations’, Journal of Financial Stability, 5 (4), 339-52. DOWNLOAD
  58. Lagoarde-Segot, Thomas and Lucey, Brian M. (2009), ‘Shift-Contagion Vulnerability in the Mena Stock Markets’, World Economy, 32 (10), 1478-97. DOWNLOAD
  59. Batten, Jonathan and Lucey, Brian M. (2010), ‘Volatility in the Gold Futures Market’, Applied Economics Letters, 17 (2), 187-90. DOWNLOAD
  60. Batten, Jonathan, Ciner, Cetin, and Lucey, Brian M. (2010), ‘The Macroeconomic Determinants of Volatility in Precious Metals Markets’,Resources Policy, 35 (2), 65-71. DOWNLOAD
  61. Baur, Dirk G. and Lucey, Brian M. (2010), ‘Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold’, Financial Review, 45 (2), 217-29. DOWNLOAD
  62. Lucey, Brian M. and Zhang, Qiyu (2010), ‘Does Cultural Distance Matter in International Stock Market Comovement? Evidence from Emerging Economies around the World’, Emerging Markets Review, 11 (1), 62-78 DOWNLOAD
  63. Lucey, Brian M. and Sevic, Alexandr (2010), ‘Investigating the Determinants of Banking Coexceedances in Europe in the Summer of 2008′, Journal of International Financial Markets, Institutions and Money,20 (3), 275-83. DOWNLOAD
  64. Lucey, Brian M. (2010), ‘Lunar Seasonality in Precious Metal Returns?’Applied Economics Letters, 17 (9), 835-38. DOWNLOAD
  65. Lucey, Brian M., Aggarwal, Raj, and Muckley, Cal B. (2010), ‘Dynamics of Equity Market Integration in Europe: Impact of Political Economy Events’,Journal of Common Market Studies, 48 (3), 641-60. DOWNLOAD
  66. Gilmore, C. G., Lucey, B. M., & Boscia, M. W. (2010). “Comovements in government bond markets: A minimum spanning tree analysis”  Physica A: Statistical Mechanics and its Applications, 389(21), 4875-4886. DOWNLOAD
  67. MacAnBhaird, C., & Lucey, B. (2010). “Determinants Of Capital Structure In Irish SMEs.” Small Business Economics, 35(3), 357-375.  DOWNLOAD
  68. Gurdgiv, C., Lucey, B. M., MacAnBhaird, C., and Roche-Kelly, L., (2011) “The Irish Economy: Three strikes and you’re Out?” Panoeconomicus, (formerly World Development) 58(1) 19-41 DOWNLOAD
  69. Lucey, B. M., & Zhang, Q. (2010). “Financial Integration And Emerging Markets Capital Structure”. Journal of Banking and Finance , 35 (5),  1228-1238 DOWNLOAD
  70. Lucey, Brian M., and Muckley, Cal B. (2010), “Robust Global Stock Market Interdependencies And  Portfolio Diversification” ,International Review of Financial Analysis, 20 (4) , pp. 215-224 DOWNLOAD (warning 1.5mb) 
  71. Carron, B and Lucey, Brian M. (2011), “Stock Market Reaction to Female Board Appointments: the Case of the FTSE100”, Applied Economic Letters,18 (13) , pp. 1225-1229  Forthcoming
  72. MacAnBhaird, C and Lucey, Brian M (2012) “An empirical investigation of the financial growth life cycle” Journal of Small Business and Enterprise Development  18 (4) , pp. 715-731 DOWNLOAD 
  73. Claus, E and Lucey, Brian M (2012) “Equity Market Integration in the Asia Pacific Region : Evidence from Discount Factors” Research in International Business and Finance, 26 (2) , pp. 137-163 (DOWNLOAD) 
  74. Aggarwal, R, Kearney, C, and Lucey, Brian M. (2012) “Gravity and Culture in Foreign Portfolio Investment”, Journal of Banking and Finance,36 (2) , pp. 525-538  DOWNLOAD
  75. Dowling, M , Plaksina, Y and Lucey B (2012) “CEO Social Status and Acquisitiveness” Qualitative Research in Financial Markets , forthcoming (DOWNLOAD)

BOOKS AND JOURNALS

  1. Lucey, B, B Megginson and S Smart (2008) An Introduction to Corporate Finance in the European Context; London , Thomson Southwestern Educational 800pp + Instructors Manual, Testbank, PowerPoint and Excel Spreadsheets.
  2. Lucey, B (2010) Journal of Banking and Finance: Editor of Special Issue “Credit Market Integration: After the Storm?”
  3. Lucey, B (2009) Journal of Banking and Finance: Editor of Special Issue “Financial Integration and Credit markets”
  4. Lucey, B (2008) Journal of Multinational Financial Management: Editor of Special issue “Portfolio Management and Performance in the new millennium”
  5. Lucey, B (2007) Journal of Multinational Financial Management: Editor of Special issue “Measuring and Managing Contagion”
  6. Flavin, T , B Lucey and S Voronkova (2006) Quarterly Review of Economics and Finance  : Editor of Special Issue ‘Real Determinants of Financial Integration
  7.  B Lucey and  J Steeley (2005) Journal of International Financial Markets, Institutions and Money :Editor of Special Issue ‘International Bond Market Integration” 16(1)
  8. C Kearney and B Lucey (2004) International Review of Financial Analysis : Editor of Special Issue ‘International Equity Market Integration’ 13(5)
  9. Lucey, B. (1997). Financial Management: An Introduction in the Irish Context. Dublin, Folens.330 pp + Students Workbook to Accompany 

 

BOOK CHAPTERS

  1. Lucey, B and S Voronkova (2006) The Relations Between Emerging European And Developed Stock Markets Before And After The Russian Crisis Of 1997-1998. In: Jonathan A. Batten and Colm Kearney, Editor(s), International Finance Review, JAI, Volume 6, Pages 383-413.  
  2. B Lucey and S Voronkova (2006) The Financial Instrumentalisation of Debt In Gurdgiev, C (ed) 2006 Innovative Solutions to the Debt Crisis, Liffey Press
  3. M Dowling and B Lucey (2010) Chapter 16 – Other Emotional Biases, In Baker, H Kent and J Wurgler, editors, Handbook of Behavioural Finance, Elsevier, 2010