@article{MissCharifzadeh2020,
  author    = {Miss, Sakhr and Charifzadeh, Michel},
  title     = {Revisiting the Monday effect: a replication study for the German stockmarket},
  journal   = {Management review quarterly},
  volume    = {70},
  number    = {2},
  issn      = {2198-1620},
  doi       = {10.1007/s11301-019-00167-4},
  institution = {ESB Business School},
  pages     = {257 -- 273},
  year      = {2020},
  abstract  = {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.},
  language  = {en}
}