Friday the Thirteenth and the Stock Market

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