The extended Friday the 13th effect in the London Stock Exchange
Abstract
The extended Friday the 13th Effect is a calendar anomaly consisting in abnormal stock returns that occur in a time interval that starts some trading days before the supposed unlucky day of Friday the 13th and it ends some trading days after. This paper approaches the presence of such patterns in the evolution of the closed values of five indexes from the London Stock Exchange: FTSE 100, FTSE 250, FTSE 350, FTSE SmallCap and FTSE All-Share. This investigation is performed for two periods: the first from January 1998 to December 2006 and the second from January 2007 to July 2019. While the first one could be considered as relative quiet, the second one was more turbulent. In the case of first period the results revealed, for four indexes, that in the trading day that follows Friday the 13th the returns were significant higher than the average. Instead, in the case of second period, we found, for the same four indexes, that two trading days before the Friday the 13th the returns were significant lower than the average. We conclude that, like many other calendar anomalies, extended Friday the 13th Effect is not persistent in time.
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