Arbeitspapier

Weekday dependence of German stock market returns

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.

Language: Englisch

Bibliographic citation: Series: SFB 373 Discussion Paper ; No. 1999,47

Classification: Wirtschaft
Semiparametric and Nonparametric Methods: General
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Information and Market Efficiency; Event Studies; Insider Trading

Subject: Periodic models
weekday effects
wild bootstrap
nonparametric autoregression

Event: Geistige Schöpfung

(who): Herwartz, Helmut

Event: Veröffentlichung

(who): Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes

(where): Berlin

(when): 1999

Handle: http://hdl.handle.net/10419/61702

URN: urn:nbn:de:kobv:11-10046385

Last update: 10.03.2025, 11:43 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.

Show original at data provider

Object type

Arbeitspapier

Associated

Herwartz, Helmut
Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes

Time of origin

1999

Other Objects (12)