 Friday the thirteenth and the Financial Times Industrial Ordinary Shares Index 1935-94J. Andrew Coutts Applied Economics Letters, 1999, vol. 6, issue 1, 35-37 Abstract: In recent years much evidence has been documented of the existence of regularities in security price returns. However, one of the least investigated anomalies concerns the socalled 'Friday the 13th' effect, where returns on Fridays which fall on the 13th of the month display significantly lower returns than other Fridays. Employing daily logarithmic returns from the Financial Times Industrial Ordinary Shares Index (FT 30) for the period July 1935 through December 1994, we find no evidence of a Friday the 13th effect. Indeed, if anything, we find returns are higher on Friday the 13th than on other Fridays. We then partition the sample into six subsamples each of ten years, again concluding that there is no evidence of a Friday the 13th effect, and that once again returns on Friday the 13th tend to be higher than on other Fridays. Finally, we conclude that our results support the extremely limited evidence documented for the UK market concerning the Friday the 13th effect. Date: 1999 Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:taf:apeclt:v:6:y:1999:i:1:p:35-37 Ordering information: This journal article can be ordered from Access Statistics for this article Applied Economics Letters is currently edited by Anita Phillips More articles in Applied Economics Letters from Taylor & Francis Journals |
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