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

Miss, Sakhr; Charifzadeh, Michel; Herberger, Tim Alexander

doi:10.1007/s11301-019-00167-4

Cited by 12 publications

(13 citation statements)

References 37 publications

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“…Dimpfl and Kleiman (2019) highlighted that a rise in the pessimism of retail investors is followed by reducing German stock market (DAX) returns. The findings of the study by Miss et al (2020) do not provide proof of the presence of a Monday effect on the German stock market (DAX).…”

Section: Literature Reviewmentioning

confidence: 73%

World pandemic uncertainty and German stock market: evidence from Markov regime-switching and Fourier based approaches

2022

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This study aims to examine the impact of the world pandemic uncertainty index on the German stock market index (DAX index) for the 1996Q1 to 2020Q3 period while controlling real effective exchange rate, industrial production index, and consumer price index. The present study performs the Fourier Augmented Dickey-Fulle Unit Root, Fourier Engle-Granger Cointegration, Bayer-Hanck Cointegration, and Markov switching regression tests. The outcomes disclose that there is a long-run cointegration association between the stock market index and world pandemic uncertainty index, real effective exchange rate, industrial production index, and consumer price index in Germany, indicating that the combination of these factors significantly affects the German stock market index in the long-run. Moreover, in both high and low volatile regimes, the world pandemic uncertainty index and real effective exchange rate negatively affect the German stock market index while industrial production and consumer price indices impact positively.

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Section: Literature Reviewmentioning

confidence: 73%

World pandemic uncertainty and German stock market: evidence from Markov regime-switching and Fourier based approaches

2022

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“…Further research in this field is not available, which is also rooted in the fact that pandemics of this magnitude have not been seen before in a similar way. Motivated by the market frictions caused by crisis events [27], such as the GFC or the COVID-19 pandemic, this study challenges the validity of the Fama French five-factor model. This study provides novel insights in this field by adding results from the analysis via an additional multi-factor asset-pricing model, which may be used as a basis to develop more suitable asset-pricing models for the analysis of similar situations.…”

Section: Discussionmentioning

confidence: 98%

“…Comparable to Miss, Charifzadeh, and Herberger [27] we analyze different time periods around crisis events that potentially have the power to induce substantial frictions in capital markets. Kostin, Runge, and Adams [2] divided the cost of equity calculations into several subsections as benchmarks and to facilitate the analysis of relevant periods.…”

Section: Modelmentioning

confidence: 99%

An Analysis and Comparison of Multi-Factor Asset Pricing Model Performance during Pandemic Situations in Developed and Emerging Markets

2022

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This study empirically analyzes and compares return data from developed and emerging market data based on the Fama French five-factor model and compares it to previous results from the Fama French three-factor model by Kostin, Runge and Adams (2021). It researches whether the addition of the profitability and investment pattern factors show superior results in the assessment of emerging markets during the COVID-19 pandemic compared to developed markets. We use panel data covering eight indices of developed and emerging countries as well as a selection of eight companies from these markets, covering a period from 2000 to 2020. Our findings suggest that emerging markets do not generally outperform developed markets. The results underscore the need to reconsider the assumption that adding more factors to regression models automatically yields results that are more reliable. Our study contributes to the extant literature by broadening this research area. It is the first study to compare the performance of the Fama French three-factor model and the Fama French five-factor model in the cost of equity calculation for developed and emerging countries during the COVID-19 pandemic and other crisis events of the past two decades.

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“…Furthermore, Rossi and Gunardi (2018) find no weekend effect in developed European markets that is, France, Germany, Spain and Italy. However, Miss, Charifzadeh, and Herberger (2020) show persistent Monday effect in Germany. And Birru (2018) finds a day‐of‐the‐week effect on speculative stocks but no such effects are revealed from non‐speculative stocks.…”

Section: Introductionmentioning

confidence: 98%

Day‐of‐the‐week effect and market liquidity: A comparative study from emerging stock markets of Asia^†

et al. 2021

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In the second half of the 20th century, it was observed that weekday‐of‐Monday generate significantly lower returns than other days of the week. Literature has shown that the day effect exists on weekdays of the week, which is different from this day Monday. This study investigates day‐of‐the‐week effect in returns and volume of stock in emerging Asian markets by using ordinary least square regression (OLS), generalized autoregressive conditional heteroscedasticity (GARCH) (1, 1) and Kruskal‐Wallis test. The data are obtained from Thomson Reuters from July 2013 to March 2019 for the market indices and volume. The OLS and GARCH (1, 1) are employed through Eviews, while Kruskal‐Wallis test is used through SPSS. The results show a significant day‐of‐the‐week effect in returns in China, South Korea, Taiwan, Thailand, Indonesia and Pakistan. On the other hand, no significant day‐of‐the‐week effect in returns is revealed in India and Malaysia. Furthermore, significant differences in traded volume on different days are also observed in all markets except for Malaysia, where Monday is the least traded day in most markets. No evidence for co‐occurrence of day‐of‐the‐week effect in returns and volume is observed. The findings affirm inconsistency in the day‐of‐the‐week effect.

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

Cited by 12 publications

References 37 publications

World pandemic uncertainty and German stock market: evidence from Markov regime-switching and Fourier based approaches

World pandemic uncertainty and German stock market: evidence from Markov regime-switching and Fourier based approaches

An Analysis and Comparison of Multi-Factor Asset Pricing Model Performance during Pandemic Situations in Developed and Emerging Markets

Day‐of‐the‐week effect and market liquidity: A comparative study from emerging stock markets of Asia^†

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

Cited by 12 publications

References 37 publications

World pandemic uncertainty and German stock market: evidence from Markov regime-switching and Fourier based approaches

World pandemic uncertainty and German stock market: evidence from Markov regime-switching and Fourier based approaches

An Analysis and Comparison of Multi-Factor Asset Pricing Model Performance during Pandemic Situations in Developed and Emerging Markets

Day‐of‐the‐week effect and market liquidity: A comparative study from emerging stock markets of Asia†

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Day‐of‐the‐week effect and market liquidity: A comparative study from emerging stock markets of Asia^†