Stock Prices Behavior Before and After Friday the 13th

Ramona Dumitriu and Razvan Stefanescu
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Ramona Dumitriu: Dunarea de Jos University of Galati, Romania
Razvan Stefanescu: Dunarea de Jos University of Galati, Romania

Risk in Contemporary Economy, 2019, 20-30

Abstract: Empirical researches proved that many calendar anomalies of the financial markets were not persistent in time. Sometimes, the abnormal returns, detected for specific trading days, migrated to adjacent days. This paper explores the changes suffered by Friday the 13th Effect on the four indexes of the US stock market during three periods: January 1990 – December 1999, January 2000 – December 2007 and January 2008 – April 2019. For the first period we found, for two of the four indexes, that returns on Friday the 13th were significant higher than the average. During the second period, for three of the four indexes, the returns were higher than the average on the trading day that follows Friday the 13th. For this period we also found abnormal volatility on the trading days that precede or follow Friday the 13th. In case of third period, the returns were significant lower on the two trading days before and significant higher three trading days after.

Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:ddj:fserec:y:2019:p:20-30

DOI: 10.35219/rce206705323

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