Recent research has identified the presence of behavioral influences on traders in predominantly professionally traded markets such as oil, gold, and foreign exchange. Previous research had largely confined behavioral-based investigations to equity markets due to an assumption that noise traders...

Covering the first commitment period of the Kyoto Protocol (2008–2012), we perform a price discovery analysis to determine Granger causality relationships for a range of prominent green equity indices with the broader equity and commodity markets. Three pivotal contributions are made. Firstly,...

An investigation into exchange-traded fund (ETF) outperformance during the period 2008–2012 is undertaken utilizing a data set of 288 U.S. traded securities. ETFs are tested for net asset value (NAV) premium, underlying index and market benchmark outperformance, with Sharpe, Treynor, and...

As the European Union Emissions Trading Scheme (EU ETS) enters into the post-2012 Phase III period that runs to 2020, a timely assessment of European Union Allowance (EUA) and Certified Emissions Reduction (CER) price interactions over the Phase II period is presented. Vector autoregression and...

Quantitative trading in oil-based markets is investigated over 2003--2010, with a focus on WTI, Brent, heating oil and gas oil. A total of 861 spreads are considered. A novel optimal statistical arbitrage trading model is applied, with generalised stepwise procedures controlling for data...

We investigate whether there exists a relationship between eight proxy variables for investor mood (based on the weather, biorhythms, and beliefs) and daily Irish stock returns over the period 1988 to 2001. Our study is motivated by recent research which argues that people's decisions are...

Recent research in behavioural finance has tested for evidence of mood misattribution influencing investor decision-making. The approach adopted is to test for a relationship between widely experienced mood proxy variables and equity returns. Variables ranging from weather, to Seasonal Affective...

This short note examines common failures of individual equity investors via the metaphor of the 7 deadly sins of Christian theology. The note appeared in 7 parts in the Sunday Independent, the largest selling newspaper in Ireland, in the April-May 2006 period

We investigate whether there exists a relationship between eight proxy variables for investor mood (based on the weather, biorhythms, and beliefs) and daily Irish stock returns over the period 1988 to 2001. Our study is motivated by recent research which argues that people's decisions are...

We investigate the relationship between mood and UK equity pricing. Seven variables that are argued to proxy for mood are tested, including four weather variables (temperature, precipitation, wind speed, and geomagnetic storms), and three biorhythm variables (Seasonal Affective Disorder,...