Revisiting the Monday effect: a replication study for the German stockmarket

  • 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.

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Metadaten
Name:Charifzadeh, Michel
DOI:https://doi.org/10.1007/s11301-019-00167-4
ISSN:2198-1620
eISSN:2198-1639
Erschienen in:Management review quarterly
Publisher:Springer
Place of publication:Berlin ; Heidelberg
Document Type:Article
Language:English
Year of Publication:2020
Tag:Monday effect; day-of-the-week effect; price patterns
Volume:70
Issue:2
Pagenumber:17
First Page:257
Last Page:273
Dewey Decimal Classification:650 Management
Open Access:Nein
Licence (German):License Logo  Lizenzbedingungen Springer