Published Research : by area

A chronological listing of my research with linkages to downloadable papers is available here . This page is a listing by research area.

Macroeconomics

  1. Lucey, Brian M. (1989b), ‘The Real Wage Gap and Its Development over Time: The Irish Experience 1960-87: A Comment’, Economic and Social Review, 21 (1), 103-05.
  2. Lucey, Brian M. (1989c), ‘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.
  3. 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.
  4. Gilmore, C. G., Lucey, Brian. 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.
  5. 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

International Finance

  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. (1989a), ‘Efficiency in the Forward Exchange Market: An Application of Co-Integration: Reply’, Economic and Social Review, 20 (3), 286-87.
  3. Kearney, Colm and Lucey, Brian M. (2004), ‘International Equity Market Integration: Theory, Evidence and Implications’, International Review of Financial Analysis, 13 (5), 571-83.
  4. Lucey, Brian M. (2005b), ‘Are Local or International Influences Responsible for the Pre-Holiday Behaviour of Irish Equities?’ Applied Financial Economics, 15 (6), 381-89.
  5. 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.
  6. 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.
  7. 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.
  8. Lucey, Brian M. (2006), ‘Investigating the Determinants of the Wednesday Seasonal in Irish Equities’, Research in International Business and Finance, 20 (1), 62-76.
  9. Coelho, Ricardo, et al. (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.
  10. 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.
  11. Jokipii, Terhi and Lucey, Brian M. (2007), ‘Contagion and Interdependence: Measuring Cee Banking Sector Co-Movements’, Economic Systems, 31 (1), 71-96.
  12.  Lagoarde-Segot, Thomas and Lucey, Brian M. (2007a), ‘International Portfolio Diversification: Is There a Role for the Middle East and North Africa?’ Journal of Multinational Financial Management, 17 (5), 401-16.
  13. Lagoarde-Segot, Thomas and Lucey, Brian M. (2007b), ‘Capital Market Integration in the Middle East and North Africa’, Emerging Markets Finance and Trade, 43 (3), 34-57.
  14. 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.
  15. Coelho, Ricardo, et al. (2008), ‘A Random-Matrix-Theory-Based Analysis of Stocks of Markets from Different Countries’, Advances in Complex Systems, 11 (5), 655-68.
  16. Dowling, Michael and Lucey, Brian M. (2008a), ‘Robust Global Mood Influences in Equity Pricing’, Journal of Multinational Financial Management, 18 (2), 145-64.
  17. Gilmore, Claire G., Lucey, Brian M., and Boscia, Marian (2008a), ‘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.
  18. Gilmore, Claire G., Lucey, Brian M., and McManus, Ginette M. (2008b), ‘The Dynamics of Central European Equity Market Comovements’, Quarterly Review of Economics and Finance, 48 (3), 605-22.
  19. 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.
  20.  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.
  21. 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.
  22. 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.
  23.  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.
  24. Lagoarde-Segot, Thomas and Lucey, Brian M. (2009), ‘Shift-Contagion Vulnerability in the Mena Stock Markets’, World Economy, 32 (10), 1478-97.
  25. 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.
  26.  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.
  27.  Gilmore, C. G., Lucey, Brian. 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.
  28.  Lucey, B. M., & Muckley, C. (2011). Robust global stock market interdependencies. International Review of Financial Analysis, 20(4), 215-224
  29. Lucey, B. M., & Zhang, Q. (2011). Financial integration and emerging markets capital structure. Journal of Banking and Finance, 35(5), 1228-1238.
  30. Claus, E., & Lucey, B. M. (2011). Equity market integration in the Asia pacific region: Evidence from discount factors. Research in International Business and Finance, 26(2), 137-163
  31.  Aggarwal, R., Kearney, C., & Lucey, B. (2012). Gravity and culture in foreign portfolio investment. Journal of Banking and Finance, 36(2), 525-538.
  32. Batten, J., Ciner, C., and B Lucey (2012) Structure in the gold-silver spread Quantitative Finance, forthcoming
  33. Lucey, B. Larkin, C. and O’Connor, F (2013)  London or New York : Where and When does the gold price originate?  Applied Economic Letters (forthcoming)
  34. Ciner, C, Lucey, B and Gurdgiv, C (2013)   Hedges and Safe Havens: An Examination of Stocks, Bonds, Gold, Oil and Exchange Rates  International Review of Financial Analysis (forthcoming)

SME Finance

  1. MacAnBhaird, C., & Lucey, B. (2010). Determinants Of Capital Structure In Irish SMEs Small Business Economics, 35(3), 357-375.
  2. Mac an Bhaird, C., & Lucey, B. (2011). An empirical investigation of the financial growth lifecycle. Journal of Small Business and Enterprise Development, 18(4), 715-731.

Behavioral Finance

  1. Lucey, Brian M. and Dowling, Michael (2005), ‘The Role of Feelings in Investor Decision-Making’, Journal of Economic Surveys, 19 (2), 211-37.
  2. Aggarwal, Raj and Lucey, Brian M. (2007), ‘Psychological Barriers in Gold Prices?’ Review of Financial Economics, 16 (2), 217-30.
  3. Dowling, Michael and Lucey, Brian M. (2008a), ‘Robust Global Mood Influences in Equity Pricing’, Journal of Multinational Financial Management, 18 (2), 145-64.
  4. Dowling, Michael and Lucey, Brian M. (2008b), ‘Mood and Uk Equity Pricing’, Applied Financial Economics Letters, 4 (4), 233-40.
  5. 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.
  6. Lucey, Brian M. (2010), ‘Lunar Seasonality in Precious Metal Returns?’ Applied Economics Letters, 17 (9), 835-38.
  7. Lucey, B. M., & Zhang, Q. (2011). Financial integration and emerging markets capital structure. Journal of Banking and Finance, 35(5), 1228-1238.
  8. Lucey, B. M., & Carron, B. (2011). The effect of gender on stock price reaction to the appointment of directors: The case of the FTSE 100. Applied Economics Letters, 18(13), 1225-1229.
  9. Aggarwal, R., Kearney, C., & Lucey, B. (2012). Gravity and culture in foreign portfolio investment. Journal of Banking and Finance, 36(2), 525-538.
  10.  Dowling, M , Plaksina, Y and Lucey B (2012) CEO Social Status and Acquisitiveness Qualitative Research in Financial Markets , forthcoming
  11.  Lucey, B, C Larkin and M Mulholland (2013)  Risk tolerance and demographic characteristics: Preliminary Irish Evidence  Financial Services Review (forthcoming).

Precious Metals

  1. 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.
  2. Lucey, Brian M. and Tully, Edel (2006a), ‘Seasonality, Risk and Return in Daily Comex Gold and Silver Data 1982-2002’, Applied Financial Economics, 16 (4), 319-33.
  3. Lucey, Brian M. and Tully, Edel (2006b), ‘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.
  4. Aggarwal, Raj and Lucey, Brian M. (2007), ‘Psychological Barriers in Gold Prices?’ Review of Financial Economics, 16 (2), 217-30.
  5. 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.
  6. Batten, Jonathan and Lucey, Brian M. (2010), ‘Volatility in the Gold Futures Market’, Applied Economics Letters, 17 (2), 187-90.
  7. Batten, Jonathan, Ciner, Cetin, and Lucey, Brian M. (2010), ‘The Macroeconomic Determinants of Volatility in Precious Metals Markets’, Resources Policy, 35 (2), 65-71.
  8. 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.
  9. Lucey, Brian M. (2010), ‘Lunar Seasonality in Precious Metal Returns?’ Applied Economics Letters, 17 (9), 835-38.
  10.  Batten, J., Ciner, C., and B Lucey (2012) Structure in the gold-silver spread Quantitative Finance, forthcoming
  11.  Lucey, B. Larkin, C. and O’Connor, F (2013)  London or New York : Where and When does the gold price originate?  Applied Economic Letters (forthcoming)
  12. Ciner, C, Lucey, B and Gurdgiv, C (2013)   Hedges and Safe Havens: An Examination of Stocks, Bonds, Gold, Oil and Exchange Rates  International Review of Financial Analysis (forthcoming)

Econophysics

  1. Coelho, Ricardo, et al. (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.
  2. 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.
  3. Coelho, Ricardo, et al. (2008), ‘A Random-Matrix-Theory-Based Analysis of Stocks of Markets from Different Countries’, Advances in Complex Systems, 11 (5), 655-68.
  4. Gilmore, Claire G., Lucey, Brian M., and Boscia, Marian (2008a), ‘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.
  5. Gilmore, C. G., Lucey, Brian. 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.

Banking

  1. Lucey, Brian M. (1993), ‘Profits, Efficiency and Irish Banks’, Journal of the Statistical and Social Inquiry Society of Ireland, 27 (1), 31-73.
  2. 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), 1.
  3. Lucey, Brian M. (1996a), ‘Examining the Profit-Efficiency Relationship in Irish Credit Institutions’, Irish Business and Administrative Research, 17, 110.
  4. 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.

Market Efficiency

  1. Lucey, Brian M. (1994), ‘Some Empirics of the Iseq Index’, Economic and Social Review, 25 (2), 157-77.
  2. Lucey, Brian M. (2000a), ‘Anomalous Daily Seasonality in Ireland?’ Applied Economics Letters, 7 (10), 637-40.
  3. Lucey, Brian M. (2000b), ‘Friday the 13th and the Philosophical Basis of Financial Economics’, Journal of Economics and Finance, 24 (3), 294-301.
  4. Lucey, Brian M. (2001a), ‘Preholiday Calendar Regularities in Ireland’, Atlantic Economic Journal, 29 (4), 472.
  5. Lucey, Brian M. (2001b), ‘Friday the 13th: International Evidence’, Applied Economics Letters, 8 (9), 577-79.
  6. 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.
  7. Lucey, Brian M. (2002), ‘Market Direction and Moment Seasonality: Evidence from Irish Equities’, Applied Economics Letters, 9 (10), 657-64.
  8. Lucey, Brian M. (2004), ‘Robust Estimates of Daily Seasonality in the Irish Equity Market’, Applied Financial Economics, 14 (7), 517-23.
  9. 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.
  10. 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.
  11. Lucey, Brian M. (2005b), ‘Are Local or International Influences Responsible for the Pre-Holiday Behaviour of Irish Equities?’ Applied Financial Economics, 15 (6), 381-89.
  12. Lucey, Brian M. and Tully, Edel (2006a), ‘Seasonality, Risk and Return in Daily Comex Gold and Silver Data 1982-2002’, Applied Financial Economics, 16 (4), 319-33.
  13. Lucey, Brian M. (2006), ‘Investigating the Determinants of the Wednesday Seasonal in Irish Equities’, Research in International Business and Finance, 20 (1), 62-76.
  14.  Lucey, Brian M. and Tully, Edel (2006b), ‘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.
  15.  Hope, Edward and Lucey, Brian M. (2007a), ‘Daily Seasonality in 19th Century Stocks–Some Evidence from the Dublin Stock Exchange’, Applied Economics Letters, 14 (4-6), 277-82.
  16. 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.
  17. Lucey, Brian M.. and Zhao, Shelly (2008), ‘Halloween or January? Yet Another Puzzle’, International Review of Financial Analysis, 17 (5), 1055-69.
  18.  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.
  19. Lagoarde-Segot, Thomas and Lucey, Brian M. (2009), ‘Shift-Contagion Vulnerability in the Mena Stock Markets’, World Economy, 32 (10), 1478-97.
  20. . Lucey, Brian M. (2010), ‘Lunar Seasonality in Precious Metal Returns?’ Applied Economics Letters, 17 (9), 835-38.

Corporate Finance

  1. 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.
  2. Lucey, Brian M. (1996b), ‘All About Eva’, Irish Banking Review,  (Winter), 43-52.
  3. MacAnBhaird, C., & Lucey, B. (2010). Determinants Of Capital Structure In Irish SMEs Small Business Economics, 35(3), 357-375.
  4. Mac an Bhaird, C., & Lucey, B. (2011). An empirical investigation of the financial growth lifecycle. Journal of Small Business and Enterprise Development, 18(4), 715-731.
  5. Dowling, M , Plaksina, Y and Lucey B (2012) CEO Social Status and Acquisitiveness Qualitative Research in Financial Markets , forthcoming
  6. Ciner, C, Lucey, B and Gurdgiv, C (2013)   Hedges and Safe Havens: An Examination of Stocks, Bonds, Gold, Oil and Exchange Rates  International Review of Financial Analysis (forthcoming)

Practice and Pedagogy

  1. Lucey, Brian M. (1998), ‘Business Student Perceptions of Favourite and Effective Instructors: Do They Differ?’ Irish Business and Administrative Research, 19/20 (1), 90.
  2. Barrett, Alan and Lucey, Brian M. (2003), ‘An Analysis of the Journal Article Output of Irish-Based Economists, 1970 to 2001’, Economic and Social Review, 34 (2), 109-43.
  3. Lucey, Brian M. and Delaney, Liam (2007), ‘A Psychological, Attitudinal and Professional Profile of Irish Economists’, Journal of Socio-Economics, 36 (6), 841-55.

Market Microstructure

  1. Lucey, Brian M. (2005a), ‘Does Volume Provide Information? Evidence from the Irish Stock Market’, Applied Financial Economics Letters, 1 (2), 105-09.
  2. Lucey, Brian M. (2005c), ‘Speculation or Hedging in the Irish Stock Exchange’, Applied Financial Economics Letters, 1 (1), 9-14.
  3. Chelley-Steeley, Patricia and Lucey, Brian (2008), ‘The Microstructure of the Irish Stock Market’, Multinational Finance Journal 12 (3/4), 279-311.
  4. Eastman, Alex and Lucey, Brian M. (2008), ‘Skewness and Asymmetry in Futures Returns and Volumes’, Applied Financial Economics, 18 (10), 777-800.
  5. Batten, Jonathan and Lucey, Brian M. (2010), ‘Volatility in the Gold Futures Market’, Applied Economics Letters, 17 (2), 187-90.
  6. 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.
  7. Batten, J., Ciner, C., and B Lucey (2012) Structure in the gold-silver spread Quantitative Finance, forthcoming

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