Revisiting the monday effect: a replication study for the German stock market

Sakhr Miss (), Michel Charifzadeh and Tim A. Herberger
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Sakhr Miss: Nuremberg Tech - Technische Hochschule Nürnberg GEORG SIMON OHM
Michel Charifzadeh: Reutlingen University
Tim A. Herberger: Andrássy University

Management Review Quarterly, 2020, vol. 70, issue 2, No 4, 257-273

Abstract: 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.

Keywords: Price patterns; Day-of-the-week effect; Monday effect (search for similar items in EconPapers)
JEL-codes: G10 G11 G14 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (5)

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DOI: 10.1007/s11301-019-00167-4

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