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

Author

Listed:
  • Sakhr Miss

    (Nuremberg Tech - Technische Hochschule Nürnberg GEORG SIMON OHM)

  • Michel Charifzadeh

    (Reutlingen University)

  • Tim A. Herberger

    (Andrássy University
    Bamberg University)

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.

Suggested Citation

  • Sakhr Miss & Michel Charifzadeh & Tim A. Herberger, 2020. "Revisiting the monday effect: a replication study for the German stock market," Management Review Quarterly, Springer, vol. 70(2), pages 257-273, May.
    • Handle: RePEc:spr:manrev:v:70:y:2020:i:2:d:10.1007_s11301-019-00167-4
    DOI: 10.1007/s11301-019-00167-4
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    More about this item

    Keywords

    Price patterns; Day-of-the-week effect; Monday effect;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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