Professor Michael Lucey's Outputs (2)

Mind The Gap: Psychological Barriers in Gold and Silver Prices (2016)
Journal Article
Lucey, M., & O'Connor, F. (2016). Mind The Gap: Psychological Barriers in Gold and Silver Prices. Finance Research Letters, 17, 135-140. https://doi.org/10.1016/j.frl.2016.03.009

This study tests whether psychological barriers exist around key reference points in gold and silver prices, namely numbers ending in 0 (e.g. $450) and 00 (e.g. $200). Initial observations and tests show gold prices fix less frequently on values endi... Read More about Mind The Gap: Psychological Barriers in Gold and Silver Prices.

European Equity Pairs Trading: The Effect of Data Frequency on Risk and Return. Journal of Business Theory and Practice. (2013)
Journal Article
Lucey, M., & Walshe, D. (2013). European Equity Pairs Trading: The Effect of Data Frequency on Risk and Return. Journal of Business Theory and Practice. Journal of business theory and practice, 1(2), 329-341. https://doi.org/10.22158/jbtp.v1n2p329

This article examines an equity pairs trading strategy using daily, weekly and monthly European share price data over the period 1998 – 2007. The authors show that when stocks are matched into pairs with minimum distance between normalised historical... Read More about European Equity Pairs Trading: The Effect of Data Frequency on Risk and Return. Journal of Business Theory and Practice..