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The friday the thirteenth effect in stock prices: international evidence using panel data

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  • Keef, Stephen P
  • Khaled, Mohammed S
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    Abstract

    This examination of the Friday the 13th effect, in 62 international stock indices for the period 2000 to 2008, characterises the degree that the effect is influenced by: (i) the GDP of the economy and (ii) the sign of the return on the prior day. These effects are assessed by the use of an EGLS panel regression model incorporating panel corrected standard errors. The turn of the month effect on Fridays is also examined. Three important results relating to the Friday the 13th effect are observed. First, the depressed Friday the 13th effect is present when the return on the prior day is negative. Second, when the return on the prior day is positive, the depressed Friday the 13th effect is absent. Third, the depressed Friday the 13th effect is independent of the GDP of the country when the returns on control Fridays are used as the yardstick.

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    File URL: http://researcharchive.vuw.ac.nz/handle/10063/1994
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    Bibliographic Info

    Paper provided by Victoria University of Wellington, School of Economics and Finance in its series Working Paper Series with number 1994.

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    Date of creation: 2011
    Date of revision:
    Handle: RePEc:vuw:vuwecf:1994

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    Postal: Alice Fong, Administrator, School of Economics and Finance, Victoria Business School, Victoria University of Wellington, PO Box 600 Wellington, New Zealand
    Phone: +64 (4) 463-5353
    Fax: +64 (4) 463-5014
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    Web page: http://www.victoria.ac.nz/sef
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    Related research

    Keywords: Friday the 13th effect; turn of the month effect; international; stock indices; between-country;

    This paper has been announced in the following NEP Reports:

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    1. Daron Acemoglu & Simon Johnson & James A. Robinson, 2000. "The Colonial Origins of Comparative Development: An Empirical Investigation," NBER Working Papers 7771, National Bureau of Economic Research, Inc.
    2. Cadsby, Charles Bram & Ratner, Mitchell, 1992. "Turn-of-month and pre-holiday effects on stock returns: Some international evidence," Journal of Banking & Finance, Elsevier, vol. 16(3), pages 497-509, June.
    3. Abraham, Abraham & Ikenberry, David L., 1994. "The Individual Investor and the Weekend Effect," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 29(02), pages 263-277, June.
    4. Ariel, Robert A., 1987. "A monthly effect in stock returns," Journal of Financial Economics, Elsevier, vol. 18(1), pages 161-174, March.
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    Blog mentions

    As found by EconAcademics.org, the blog aggregator for Economics research:
    1. Triskaidekaphobia (fear of Friday the 13th) and the stock market.
      by brianmlucey in Brian M. Lucey on 2013-09-13 07:50:19

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