Weekday dependence of German stock market returns

Helmut Herwartz

No 1999,47, SFB 373 Discussion Papers from Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes

Abstract: The so-called 'Monday effect ' has been found for various stock markets of the world. The empirical finding that Monday returns are significantly smaller than returns measured for the remaining days of the week calls the efficiency hypothesis for pricing processes operating on stock markets into question. Investigating an index series measured at the Frankfurt stock exchange the paper compares estimation results of parametric and nonparametric autoregressive models with respect to possible weekday dependence of return data. Allowing for heteroskedastic error distributions the wild bootstrap is used to infer against time varying means and correlation of return data in parametric models and to obtain confidence bands for nonparametric estimates. It is shown that time dependence is an important feature describing the dynamics of German stock market returns in the period 1960-79. Within two subsamples obtained from the period 1980-97 the evidence in favour of such effects is mitigated substantially.

Keywords: Periodic models; weekday effects; wild bootstrap; nonparametric autoregression (search for similar items in EconPapers)
JEL-codes: C14 C22 G14 (search for similar items in EconPapers)
Date: 1999
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://www.econstor.eu/bitstream/10419/61702/1/72228120X.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:zbw:sfb373:199947

Access Statistics for this paper

More papers in SFB 373 Discussion Papers from Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Contact information at EDIRC.
Bibliographic data for series maintained by ZBW - Leibniz Information Centre for Economics ().