A Monthly Index for The Irish Stock Market 1961-1965

by
Xiner "Rachel" Liu
Xiner “Rachel” Liu

Rachel is a rising senior (’22) at Wesleyan studying Mathematics, Economics, and Data Analysis. She grew up in China and graduated from the Macduffie High School in Granby, Massachusett. Her academic interests include machine learning and data analysis. Outside of school, she is a member of  TEDxWesleyanU and the International Student Advisory Board (ISAB). She likes to carve stone steals in her spare time, and she also enjoys learning and practicing new languages.

Live Poster Session:
Zoom Link
Thursday, July 29th, 1:45-2:45 p.m. EDT

Abstract: Researchers have long wanted to understand the return of capital in the stock market, as it gives insight into how different sectors in the economy were behaving, how the stock market reacted to shocks historically, and how wealth distribution has changed over time. Capital returns have two major components: yields, and the main focus of our study, changes in its price. This project aims to construct new monthly Irish stock market price indices for 1961-1965 with a focus on the largest or most frequently traded Irish-based firms. The price indices for the entire stock market are constructed using over 19,000 monthly listings of share prices from Irish Time, covering a total of 404 equity securities issued by Irish-based firms. Moreover, indices are also presented for four capital types and major sectors within them. The observed unweighted price index increased by over 50% between 1961 and 1965, in contrast to the weighted prices index (index weighted by each listings’ capital share in the overall market) rose by only 7% between 1961 and 1963 but fell by over 20% in the next two years, indicating that larger companies performed significantly worse. However, the overall market capitalization almost doubled in five years. This growth was mainly caused by the rising amount of shares in the two major capital types, Ordinary Equity and Public Debt, which were accounted for 96% of market capitalization in each year. The study introduced a series of indices that supports more meticulous time-series analyses of the 1961-1965 Irish stock market, allowing researchers to further study the topics such as seasonality in the stock market that are not achievable with annual data. 

Acknowledgment: I would like to thank Prof. Grossman and Prof. Boulware for this valuable opportunity, Prof. Lyons for his constant encouragement and guidance throughout, Prof. Kaparakis, Prof. Kabacoff, Prof. Nazarro, Prof. Oleinikov, and Prof. Rose for the wonderful QAC workshops and tutorials, and Huangqin Li ‘23 for her constructive ideas on the data visualizations portion of the poster. 

A-monthly-index-for-the-Irish-stock-market-1961-1965-1

Live Poster Session:
Zoom Link
Thursday, July 29th, 1:45-2:45 p.m. EDT