A chronological listing of my research with linkages to downloadable papers is available here . This page is a listing by research area.
Macroeconomics
- 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.
- 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.
- 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.
- 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.
- 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
- Lucey, Brian M. (1988), ‘Efficiency in the Forward Exchange Market: An Application of Cointegration’, Economic and Social Review, 20 (1), 25-36.
- Lucey, Brian M. (1989a), ‘Efficiency in the Forward Exchange Market: An Application of Co-Integration: Reply’, Economic and Social Review, 20 (3), 286-87.
- Kearney, Colm and Lucey, Brian M. (2004), ‘International Equity Market Integration: Theory, Evidence and Implications’, International Review of Financial Analysis, 13 (5), 571-83.
- 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.
- 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.
- 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.
- 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.
- Lucey, Brian M. (2006), ‘Investigating the Determinants of the Wednesday Seasonal in Irish Equities’, Research in International Business and Finance, 20 (1), 62-76.
- 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.
- 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.
- Jokipii, Terhi and Lucey, Brian M. (2007), ‘Contagion and Interdependence: Measuring Cee Banking Sector Co-Movements’, Economic Systems, 31 (1), 71-96.
- 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.
- 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.
- 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.
- 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.
- Dowling, Michael and Lucey, Brian M. (2008a), ‘Robust Global Mood Influences in Equity Pricing’, Journal of Multinational Financial Management, 18 (2), 145-64.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- Lagoarde-Segot, Thomas and Lucey, Brian M. (2009), ‘Shift-Contagion Vulnerability in the Mena Stock Markets’, World Economy, 32 (10), 1478-97.
- 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.
- 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.
- 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.
- Lucey, B. M., & Muckley, C. (2011). Robust global stock market interdependencies. International Review of Financial Analysis, 20(4), 215-224
- Lucey, B. M., & Zhang, Q. (2011). Financial integration and emerging markets capital structure. Journal of Banking and Finance, 35(5), 1228-1238.
- 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
- Aggarwal, R., Kearney, C., & Lucey, B. (2012). Gravity and culture in foreign portfolio investment. Journal of Banking and Finance, 36(2), 525-538.
- Batten, J., Ciner, C., and B Lucey (2012) Structure in the gold-silver spread Quantitative Finance, forthcoming
- 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)
- 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
- MacAnBhaird, C., & Lucey, B. (2010). Determinants Of Capital Structure In Irish SMEs Small Business Economics, 35(3), 357-375.
- 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
- Lucey, Brian M. and Dowling, Michael (2005), ‘The Role of Feelings in Investor Decision-Making’, Journal of Economic Surveys, 19 (2), 211-37.
- Aggarwal, Raj and Lucey, Brian M. (2007), ‘Psychological Barriers in Gold Prices?’ Review of Financial Economics, 16 (2), 217-30.
- Dowling, Michael and Lucey, Brian M. (2008a), ‘Robust Global Mood Influences in Equity Pricing’, Journal of Multinational Financial Management, 18 (2), 145-64.
- Dowling, Michael and Lucey, Brian M. (2008b), ‘Mood and Uk Equity Pricing’, Applied Financial Economics Letters, 4 (4), 233-40.
- 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.
- Lucey, Brian M. (2010), ‘Lunar Seasonality in Precious Metal Returns?’ Applied Economics Letters, 17 (9), 835-38.
- Lucey, B. M., & Zhang, Q. (2011). Financial integration and emerging markets capital structure. Journal of Banking and Finance, 35(5), 1228-1238.
- 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.
- Aggarwal, R., Kearney, C., & Lucey, B. (2012). Gravity and culture in foreign portfolio investment. Journal of Banking and Finance, 36(2), 525-538.
- Dowling, M , Plaksina, Y and Lucey B (2012) CEO Social Status and Acquisitiveness Qualitative Research in Financial Markets , forthcoming
- Lucey, B, C Larkin and M Mulholland (2013) Risk tolerance and demographic characteristics: Preliminary Irish Evidence Financial Services Review (forthcoming).
Precious Metals
- 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.
- 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.
- 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.
- Aggarwal, Raj and Lucey, Brian M. (2007), ‘Psychological Barriers in Gold Prices?’ Review of Financial Economics, 16 (2), 217-30.
- 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.
- Batten, Jonathan and Lucey, Brian M. (2010), ‘Volatility in the Gold Futures Market’, Applied Economics Letters, 17 (2), 187-90.
- Batten, Jonathan, Ciner, Cetin, and Lucey, Brian M. (2010), ‘The Macroeconomic Determinants of Volatility in Precious Metals Markets’, Resources Policy, 35 (2), 65-71.
- 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.
- Lucey, Brian M. (2010), ‘Lunar Seasonality in Precious Metal Returns?’ Applied Economics Letters, 17 (9), 835-38.
- Batten, J., Ciner, C., and B Lucey (2012) Structure in the gold-silver spread Quantitative Finance, forthcoming
- 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)
- 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
- 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.
- 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.
- 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.
- 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.
- 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
- Lucey, Brian M. (1993), ‘Profits, Efficiency and Irish Banks’, Journal of the Statistical and Social Inquiry Society of Ireland, 27 (1), 31-73.
- 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.
- Lucey, Brian M. (1996a), ‘Examining the Profit-Efficiency Relationship in Irish Credit Institutions’, Irish Business and Administrative Research, 17, 110.
- 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
- Lucey, Brian M. (1994), ‘Some Empirics of the Iseq Index’, Economic and Social Review, 25 (2), 157-77.
- Lucey, Brian M. (2000a), ‘Anomalous Daily Seasonality in Ireland?’ Applied Economics Letters, 7 (10), 637-40.
- Lucey, Brian M. (2000b), ‘Friday the 13th and the Philosophical Basis of Financial Economics’, Journal of Economics and Finance, 24 (3), 294-301.
- Lucey, Brian M. (2001a), ‘Preholiday Calendar Regularities in Ireland’, Atlantic Economic Journal, 29 (4), 472.
- Lucey, Brian M. (2001b), ‘Friday the 13th: International Evidence’, Applied Economics Letters, 8 (9), 577-79.
- 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.
- Lucey, Brian M. (2002), ‘Market Direction and Moment Seasonality: Evidence from Irish Equities’, Applied Economics Letters, 9 (10), 657-64.
- Lucey, Brian M. (2004), ‘Robust Estimates of Daily Seasonality in the Irish Equity Market’, Applied Financial Economics, 14 (7), 517-23.
- 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.
- 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.
- 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.
- 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.
- Lucey, Brian M. (2006), ‘Investigating the Determinants of the Wednesday Seasonal in Irish Equities’, Research in International Business and Finance, 20 (1), 62-76.
- 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.
- 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.
- 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.
- Lucey, Brian M.. and Zhao, Shelly (2008), ‘Halloween or January? Yet Another Puzzle’, International Review of Financial Analysis, 17 (5), 1055-69.
- 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.
- Lagoarde-Segot, Thomas and Lucey, Brian M. (2009), ‘Shift-Contagion Vulnerability in the Mena Stock Markets’, World Economy, 32 (10), 1478-97.
- . Lucey, Brian M. (2010), ‘Lunar Seasonality in Precious Metal Returns?’ Applied Economics Letters, 17 (9), 835-38.
Corporate Finance
- 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.
- Lucey, Brian M. (1996b), ‘All About Eva’, Irish Banking Review, (Winter), 43-52.
- MacAnBhaird, C., & Lucey, B. (2010). Determinants Of Capital Structure In Irish SMEs Small Business Economics, 35(3), 357-375.
- 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.
- Dowling, M , Plaksina, Y and Lucey B (2012) CEO Social Status and Acquisitiveness Qualitative Research in Financial Markets , forthcoming
- 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
- Lucey, Brian M. (1998), ‘Business Student Perceptions of Favourite and Effective Instructors: Do They Differ?’ Irish Business and Administrative Research, 19/20 (1), 90.
- 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.
- 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
- Lucey, Brian M. (2005a), ‘Does Volume Provide Information? Evidence from the Irish Stock Market’, Applied Financial Economics Letters, 1 (2), 105-09.
- Lucey, Brian M. (2005c), ‘Speculation or Hedging in the Irish Stock Exchange’, Applied Financial Economics Letters, 1 (1), 9-14.
- Chelley-Steeley, Patricia and Lucey, Brian (2008), ‘The Microstructure of the Irish Stock Market’, Multinational Finance Journal 12 (3/4), 279-311.
- Eastman, Alex and Lucey, Brian M. (2008), ‘Skewness and Asymmetry in Futures Returns and Volumes’, Applied Financial Economics, 18 (10), 777-800.
- Batten, Jonathan and Lucey, Brian M. (2010), ‘Volatility in the Gold Futures Market’, Applied Economics Letters, 17 (2), 187-90.
- 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.
- Batten, J., Ciner, C., and B Lucey (2012) Structure in the gold-silver spread Quantitative Finance, forthcoming