Artikel
Drivers of seasonal return patterns in German stocks
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.
- Language
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Englisch
- Bibliographic citation
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Journal: Business Research ; ISSN: 2198-2627 ; Volume: 11 ; Year: 2018 ; Issue: 1 ; Pages: 173-196 ; Heidelberg: Springer
- Classification
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Management
Information and Market Efficiency; Event Studies; Insider Trading
- Subject
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Turn-of-the-month
Return seasonality
Market liquidity
Order imbalance
- Event
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Geistige Schöpfung
- (who)
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Weigerding, Michael
Hanke, Michael Hanke
Schwetzler, Bernhard
- Event
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Veröffentlichung
- (who)
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Springer
- (where)
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Heidelberg
- (when)
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2018
- DOI
-
doi:10.1007/s40685-017-0060-0
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Weigerding, Michael
- Hanke, Michael Hanke
- Schwetzler, Bernhard
- Springer
Time of origin
- 2018
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