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Drivers of seasonal return patterns in German stocks

Author

Listed:
  • Michael Weigerding

    (Commerzbank AG
    University of Liechtenstein, Institute for Finance)

  • Michael Hanke

    (University of Liechtenstein, Institute for Finance)

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.

Suggested Citation

  • Michael Weigerding & Michael Hanke, 2018. "Drivers of seasonal return patterns in German stocks," Business Research, Springer;German Academic Association for Business Research, vol. 11(1), pages 173-196, February.
    • Handle: RePEc:spr:busres:v:11:y:2018:i:1:d:10.1007_s40685-017-0060-0
    DOI: 10.1007/s40685-017-0060-0
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    Cited by:

    1. Weigerding, Michael, 2020. "Seasonal liquidity effects and their determinants on the covered bond market," The Quarterly Review of Economics and Finance, Elsevier, vol. 78(C), pages 288-303.
    2. Jakub Kubiczek & Marcin Tuszkiewicz, 2022. "Intraday Patterns of Liquidity on the Warsaw Stock Exchange before and after the Outbreak of the COVID-19 Pandemic," IJFS, MDPI, vol. 10(1), pages 1-16, February.

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