Friday the Thirteenth and the Stock Market

25 Pages Posted: 10 Mar 2010

See all articles by Emilia Vähämaa

Emilia Vähämaa

Hanken School of Economics; University of Vaasa

Jarkko Peltomaki

University of Vaasa

Date Written: March 9, 2010

Abstract

In this study, we investigate whether Friday the thirteenth has an effect on the stock market returns. We report the following findings: (1) The returns prior Friday the thirteenth are lower than normally prior the year 1981. (2) The returns after Friday the thirteenth are higher than normally after the year 1980. (3) Serial correlation in stock indexes is positive prior the year 1981 and negative after the year 1980. (4) Serial correlation between Friday and the following day is significantly lower after Friday the thirteenth. Thus, we conclude that the Monday anomaly is not more evident than Friday the thirteenth anomaly, and the anomalies may be interrelated.

Keywords: Friday the thirteenth, Monday effect, calendar anomalies, stock returns, persistence of anomalies

JEL Classification: G11, G14

Suggested Citation

Vähämaa, Emilia and Peltomaki, Jarkko, Friday the Thirteenth and the Stock Market (March 9, 2010). Available at SSRN: https://ssrn.com/abstract=1567662 or http://dx.doi.org/10.2139/ssrn.1567662

Emilia Vähämaa

Hanken School of Economics ( email )

PB 287
Helsinki, Vaasa 65101
Finland

University of Vaasa ( email )

P.O. Box 700
Wolffintie 34
FIN-65101 Vaasa
Finland

Jarkko Peltomaki (Contact Author)

University of Vaasa ( email )

P.O. Box 700
Wolffintie 34
FIN-65101 Vaasa, FI-65101
Finland

Register to save articles to
your library

Register

Paper statistics

Downloads
186
rank
158,764
Abstract Views
1,019
PlumX Metrics