Open AccessShould Investors on Equity Markets Be Superstitious (on the Example of 52 World Stock Indices)?
Author(s) -
Krzysztof Borowski
Publication year - 2019
Publication title -
journal of management and financial sciences
Language(s) - English
Resource type - Journals
eISSN - 2657-5612
pISSN - 1899-8968
DOI - 10.33119/jmfs.2017.29.4
Subject(s) - equity (law) , falling (accident) , portfolio , financial economics , actuarial science , stock (firearms) , rate of return , economics , econometrics , finance , psychology , history , political science , law , archaeology , psychiatry
The problem of efficiency of financial markets, especially the weekend effect, has always fascinated scientists. 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 upon52 equity indices in relation to the following four approaches: close - close, overnight, open-open, open-close calculated for the sessions falling on the 13th and 4th day of the month, Friday the 13th, Tuesday the 13th. In the following part of the paper, the statistical equality of one-session average rates of return (close-close) for sessions falling on Friday 13th and sessions falling on other Friday sessions will be compared, as well as for sessions falling on Tuesday the 13th and sessions falling on other Tuesdays. The last part of the paper consists of the analysis of the correlation coefficients of Friday the 13th (close-close) rates of return calculated for the analyzed equity indices’ pairs.