Some empirics of the ISEQ index

Abstract

This paper looks at the empirical distribution of the official index for the Irish Stock Exchange, ISEQ. Evidence is provided that the data are serially dependant, are characterised by long lags in their determination, show some temporal anomalies, are not normally distributed and are in fact of such a distribution that there is no doubt as to whether or not some of the standard finance theories are applicable in this case. Parameters of the underlying distribution are estimated, indicating a distribution of the stable paretian class.