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SeptemBear - A seasonality puzzle in the German stock index DAX

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  • Michael Reutter
  • Jakob Von Weizsacker
  • Frank Westermann

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.

Suggested Citation

  • Michael Reutter & Jakob Von Weizsacker & Frank Westermann, 2002. "SeptemBear - A seasonality puzzle in the German stock index DAX," Applied Financial Economics, Taylor & Francis Journals, vol. 12(11), pages 765-769.
  • Handle: RePEc:taf:apfiec:v:12:y:2002:i:11:p:765-769
    DOI: 10.1080/09603100110037504
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    References listed on IDEAS

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