TY  - JOUR
U1  - Zeitschriftenartikel, wissenschaftlich - begutachtet (reviewed)
A1  - Miss, Sakhr
A1  - Charifzadeh, Michel
T1  - Revisiting the Monday effect: a replication study for the German stockmarket
JF  - Management review quarterly
N2  - 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.
KW  - price patterns
KW  - day-of-the-week effect
KW  - Monday effect
Y1  - 2020
SN  - 2198-1620
SS  - 2198-1620
U6  - https://doi.org/10.1007/s11301-019-00167-4
DO  - https://doi.org/10.1007/s11301-019-00167-4
VL  - 70
IS  - 2
SP  - 257
EP  - 273
S1  - 17
PB  - Springer
CY  - Berlin ; Heidelberg
ER  -