Drivers of seasonal return patterns in German stocks

Michael Weigerding () and Michael Hanke ()
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Michael Weigerding: Commerzbank AG
Michael Hanke: University of Liechtenstein, Institute for Finance

Business Research, 2018, vol. 11, issue 1, No 6, 173-196

Abstract: Abstract Using a data set of German stocks that includes the financial crisis, this paper identifies market liquidity as the main driver of return seasonality. In comparison, the economic significance of order flow imbalance is markedly weaker. Applying panel regressions and controlling for unobserved effects, we investigate the effects of both variables simultaneously, together with dummies for calendar effects. US macroeconomic news announcements, which have been identified as one driver of return seasonality in previous studies using non-US data, are of little importance for our data set of German stocks.

Keywords: Turn-of-the-month; Return seasonality; Market liquidity; Order imbalance; G14 (search for similar items in EconPapers)
Date: 2018
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DOI: 10.1007/s40685-017-0060-0

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