Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/177281 
Year of Publication: 
2018
Citation: 
[Journal:] Business Research [ISSN:] 2198-2627 [Volume:] 11 [Issue:] 1 [Publisher:] Springer [Place:] Heidelberg [Year:] 2018 [Pages:] 173-196
Publisher: 
Springer, Heidelberg
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.
Subjects: 
Turn-of-the-month
Return seasonality
Market liquidity
Order imbalance
JEL: 
G14
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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