Drivers of seasonal return patterns in German stocks
Abstract 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 unobserv...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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Springer
2018-01-01
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| Series: | Business Research |
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| Online Access: | http://link.springer.com/article/10.1007/s40685-017-0060-0 |
| _version_ | 1830140968602435584 |
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| author | Michael Weigerding Michael Hanke |
| author_facet | Michael Weigerding Michael Hanke |
| author_sort | Michael Weigerding |
| collection | DOAJ |
| description | Abstract 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. |
| first_indexed | 2024-12-17T09:12:26Z |
| format | Article |
| id | doaj.art-6eb1a54627b04dfbb45b1a57fff58dc6 |
| institution | Directory Open Access Journal |
| issn | 2198-3402 2198-2627 |
| language | English |
| last_indexed | 2024-12-17T09:12:26Z |
| publishDate | 2018-01-01 |
| publisher | Springer |
| record_format | Article |
| series | Business Research |
| spelling | doaj.art-6eb1a54627b04dfbb45b1a57fff58dc62022-12-21T21:55:09ZengSpringerBusiness Research2198-34022198-26272018-01-0111117319610.1007/s40685-017-0060-0Drivers of seasonal return patterns in German stocksMichael Weigerding0Michael Hanke1Commerzbank AGUniversity of Liechtenstein, Institute for FinanceAbstract 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.http://link.springer.com/article/10.1007/s40685-017-0060-0Turn-of-the-monthReturn seasonalityMarket liquidityOrder imbalance |
| spellingShingle | Michael Weigerding Michael Hanke Drivers of seasonal return patterns in German stocks Business Research Turn-of-the-month Return seasonality Market liquidity Order imbalance |
| title | Drivers of seasonal return patterns in German stocks |
| title_full | Drivers of seasonal return patterns in German stocks |
| title_fullStr | Drivers of seasonal return patterns in German stocks |
| title_full_unstemmed | Drivers of seasonal return patterns in German stocks |
| title_short | Drivers of seasonal return patterns in German stocks |
| title_sort | drivers of seasonal return patterns in german stocks |
| topic | Turn-of-the-month Return seasonality Market liquidity Order imbalance |
| url | http://link.springer.com/article/10.1007/s40685-017-0060-0 |
| work_keys_str_mv | AT michaelweigerding driversofseasonalreturnpatternsingermanstocks AT michaelhanke driversofseasonalreturnpatternsingermanstocks |