| Autor: |
Miss, Sakhr, Charifzadeh, Michel, Herberger, Tim |
| Zdroj: |
Management Review Quarterly - Journal für Betriebswirtschaft; 20240101, Issue: Preprints p1-17, 17p |
| Abstrakt: |
Monday is unique for its reputation as a “bad” day—one that is characterized by pessimism and reluctance as noted by Rystrom and Benson (Financ Anal J 45(5):75–78, 1989). But the extent to which this applies to stock markets is still in dispute. While early evidence points to a Monday effect leading to negative returns, recent studies tend to suggest its disappearance or reversal. As a replication study, this paper searches for new evidence of this effect in the German stock market. We use data on the German blue-chip index DAX between 2000 and 2017 to test for the presence of a Monday effect by applying regression and controlling with GARCH analysis. The observation period provides a detailed insight into different market phases in one of the most liquid and information-efficient international stock markets. Our results contribute no evidence to the persistent existence of a Monday effect on the German stock market. Our analysis is robust against the background of different market sentiments before, during and after the financial crisis. |
| Databáze: |
Supplemental Index |
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