Should Investors on Equity Markets Be Superstitious? (Example of 7 World Stock Indexes Components)

Krzysztof Borowski

International Journal of Economics and Finance, 2019, vol. 11, issue 1, 151-174

Abstract: The problem of efficiency of financial markets, especially the weekend effect has always fascinated scholars and practitioners due to its relationship with the financial market efficiency. The issue is significant from the point of view of assessing the portfolio management effectiveness and behavioral finance. This paper tests the hypothesis of the unfortunate dates effect upon 7 equity indexes components (CAC40, DAX, DJIA, FTSE30, FTSE MIBTEL, NIKKEI225 and SENSEX), i.e. 419 companies. For all these equities the following rates of return were analyzed- Close-close, Overnight, Open-open, Open-close. As unfortunate days, the sessions falling on the following dates were selected- 13th and 4th day of the month, Friday the 13th and Tuesday the 13th. The research proved the presence of all kinds of the ;unfortunate dates; effects on analyzed markets. The effects were registered for all analyzed rates of return. The most dominating “unfortunate dates effects” resulted to be Tuesday the 13th, proceeding the 4th day of the month effect. This is the first analysis of the presence of the ;unfortunate dates effect, in which other than Close-close returns were examined and fulfils the research gap.

Keywords: market efficiency; calendar anomalies; Friday the 13th; Tuesday the 13th; unfortunate dates effect (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.ccsenet.org/journal/index.php/ijef/article/download/0/0/38007/38519 (application/pdf)
http://www.ccsenet.org/journal/index.php/ijef/article/view/0/38007 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ibn:ijefaa:v:11:y:2019:i:1:p:151-174

Access Statistics for this article

More articles in International Journal of Economics and Finance from Canadian Center of Science and Education Contact information at EDIRC.
Bibliographic data for series maintained by Canadian Center of Science and Education ().