Drivers of seasonal return patterns in German stocks

Abstract

AbstractUsing 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.