SeptemBear - A seasonality puzzle in the German stock index DAX

Michael Reutter, Jakob von Weizsäcker and Frank Westermann

Applied Financial Economics, 2002, vol. 12, issue 11, 765-769

Abstract: The September performance of the DAX (German stock market index) was found to be below average in the period from 1959-1999. This finding is shown to be robust to several changes in the empirical specification. None of the variables under consideration - elections, risk premia and German unification - were able to resolve this puzzle.

Date: 2002
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DOI: 10.1080/09603100110037504

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