Friday 13th Effect – paper review

The Friday 13th Effect holds that stock returns on Friday 13th are significantly lower than for other Fridays. For academics, the interest is mainly in whether this demonstrates investors are rational or superstitious.

This article presents a brief review and listing of academic papers on the Friday 13th Effect.


The earliest work that almost all papers refer to is Kolb and Rodriguez (1987); which found that stock returns were indeed significantly lower on Friday 13th than on other Fridays.

However, in the following years few papers supported this idea.

The first paper to rebut it was Dyl and Maberly (1988); this studied the S&P 500 Index for the period 1940-1987 and found that stock returns on the unlucky day were, in fact, slightly higher than on other Fridays. The paper firmly concluded, “There is no Friday the 13th effect”. This was supported by Chamberlain, Cheung and Kwan (1991) who declared the effect just a statistical artefact.

Coutts (1999) examined the UK FT30 Index from 1935 and also found the Friday 13th returns slightly higher than other Fridays. A result also found by Lucey (2000) when he analysed FTSE indices for 19 countries.

So, by 2010 things were not looking encouraging for the existence of the Friday 13th effect. In the 23 years since the initial paper by Kolb and Rodriguez (1987), all papers published on the topic had rejected it.

Then, in 2010, Vähämaa and Peltomaki (2010) launched an effort to somewhat rescue the effect. They decided to interpret the effect a little more loosely and looked also at the trading days immediately prior and following Friday 13th. They found that returns on the days prior to Friday 13th were statistically significant and negative prior to 1981; and that returns on the days after Friday 13th were statistically significant and positive after 1980. This reference to the day following Friday 13th overlapped with the Monday effect, which holds that returns are lower than other days of the week. The result was that their paper found that Friday 13th did influence the stock market.

Subsequently, papers have broadened the geographical ambit and started looking for the Friday 13th effect in other international markets. Auer and Rottmann, Horst (2013) failed to find evidence for the effect in Asian emerging markets, except in the Philippines and a reverse effect in South Korea. And Botha (2013), found no evidence for the effect in five African markets.


INDEX (of papers listed below)

[Papers listed in reverse date order; indicates major paper.]

  1. Stock returns and Friday the 13th effect in five African countries [2013]
  2. Is there a Friday the 13th effect in emerging Asian stock markets? [2013]
  3. Friday the Thirteenth and the Stock Market [2010]
  4. Recent Evidence On Friday The Thirteenth Effect In U.S. Stock Returns [2009]
  5. Friday the 13th: international evidence [2001]
  6. Friday the 13th and the philosophical basis of financial economics [2000]
  7. Friday the thirteenth and the Financial Times Industrial Ordinary Shares Index 1935-94 [1999]
  8. Anomalies or illusions? Evidence from stock markets in eighteen countries [1994]
  9. The Friday the Thirteenth Effect: Myth or Reality? [1991]
  10. The Anomaly That Isn’t There: A Comment on Friday the Thirteenth [1988]
  11. Friday the Thirteenth: `Part VII’-A Note [1987]


Stock returns and Friday the 13th effect in five African countries
Authors [Year]: Botha, F. [2013]
Journal [Citations]: African Review of Economics and Finance, 4(2) [1]
Abstract: This study is concerned with Friday the 13th and daily stock market returns in five African countries. Using the MSCI Global Equity Indices during various periods, the evidence overwhelmingly suggests that there is no Friday the 13th effect
Ref: AA482


Is there a Friday the 13th effect in emerging Asian stock markets?
Authors [Year]: Auer, Benjamin R. and Rottmann, Horst [2013]
Journal [Citations]: OTH im Dialog: Weidener Diskussionspapiere, 35
Abstract: In this article, we revisit the Friday the 13th effect discussed by Kolb and Rodriguez (1987) that has received increased interest in recent research. Using a dummy-augmented GARCH model, we investigate whether the occurrence of this superstitious calendar day has significant impact on the conditional means and variances of returns in the seven emerging Asian stock markets India, Indonesia, Malaysia, the Philippines, South Korea, Taiwan and Thailand. Results obtained for the period from July 1996 to August 2013 indicate no systematic pattern across countries. We can detect a significant Friday the 13th effect only for mean returns in the Philippines and an inverse Friday the 13th effect for South Korea. Volatilities are significantly affected only in Indonesia and the Philippines. They tend to be reduced by the occurrence of Friday the 13th.
Ref: AA486


Friday the Thirteenth and the Stock Market
Authors [Year]: Vähämaa, Emilia and Jarkko Peltomaki [2010]
Journal [Citations]: [1]
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.
Ref: AA467


Recent Evidence On Friday The Thirteenth Effect In U.S. Stock Returns
Authors [Year]: Jayen B. Patel [2009]
Journal [Citations]: Journal Of Business & Economics Research, 7(3) [5]
Abstract: We examine Friday the thirteenth effect in U.S. stock returns from January 1950 to December 2007.  Our results reveal that stock returns on Friday the thirteenth are not significantly lower than that of other Fridays for the overall period.  When we examine the differences by decades, we find that Friday the thirteenth returns are significantly lower than returns of other Fridays in only one out of the six sub-periods.  We therefore conclude that U.S stock returns do not show evidence of a Friday the thirteenth effect.
Ref: AA828


Friday the 13th: international evidence
Authors [Year]: Lucey, Brian M. [2001]
Journal [Citations]: Applied Economics Letters, 8(9), pp577-579 [9]
Abstract: The Friday the 13th anomaly discussed by Kolb and Rodriguez in 1987 is revisited in an international context. Using the FTSE world indices over the period 1988–2000, for 19 countries, it is found that there is some evidence that returns on Friday the 13th are statistically different from, and generally greater than, returns on other Fridays.
Ref: AA395


Friday the 13th and the philosophical basis of financial economics
Authors [Year]: Lucey, Brian M. [2000]
Journal [Citations]: Journal of Economics and Finance, 24(3), pp294-301 [21]
Abstract: The Friday the 13th anomaly of Kolb and Rodriguez (1987) is revisited in an international context. Drawing on the philosophy of science approach of Lakatos (1978), the paper argues the importance of “anomalies” and the need for triangulation. Using the FTSE world indices over 1988–2000 for 19 countries, it is found that there is some evidence that returns on Friday the 13th are statistically different from, and generally greater than, returns on other Fridays. The paper concludes with a brief discussion of the possibility of an emergent paradigm incorporating work such as Jacobsen and Bouman (1998) and Kamstra, Kramer, and Levi (2000a).
Ref: AA392


Friday the thirteenth and the Financial Times Industrial Ordinary Shares Index 1935-94
Authors [Year]: Coutts, J. Andrew [1999]
Journal [Citations]: Applied Economics Letters, 6(1), pp35-37 [17]
Abstract: In recent years much evidence has been documented of the existence of regularities in security price returns. However, one of the least investigated anomalies concerns the socalled ‘Friday the 13th’ effect, where returns on Fridays which fall on the 13th of the month display significantly lower returns than other Fridays. Employing daily logarithmic returns from the Financial Times Industrial Ordinary Shares Index (FT 30) for the period July 1935 through December 1994, we find no evidence of a Friday the 13th effect. Indeed, if anything, we find returns are higher on Friday the 13th than on other Fridays. We then partition the sample into six subsamples each of ten years, again concluding that there is no evidence of a Friday the 13th effect, and that once again returns on Friday the 13th tend to be higher than on other Fridays. Finally, we conclude that our results support the extremely limited evidence documented for the UK market concerning the Friday the 13th effect.
Ref: AA481


Anomalies or illusions? Evidence from stock markets in eighteen countries
Authors [Year]: Agrawal, Anup and Tandon, Kishore [1994]
Journal [Citations]: Journal of International Money and Finance, 13(1), pp83-106 [375]
Abstract: This paper examines five seasonal patterns in stock markets of eighteen countries: the weekend, turn-of-the-month, end-of-December, monthly and Friday-the-thirteenth effects. We find a daily seasonal in nearly all the countries, but a weekend effect in only nine countries. Interestingly, the daily seasonal largely disappears in the 1980s. The last trading day of the month has large returns and low variance in most countries. Many countries have large December pre-holiday and inter-holiday returns. The January returns are large in most countries and a significant monthly seasonal exists in ten countries.
Ref: AA299


The Friday the Thirteenth Effect: Myth or Reality?
Authors [Year]: Chamberlain, Trevor W. and C. Sherman Cheung and Clarence C. Y. Kwan [1991]
Journal [Citations]: Quarterly Journal of Business and Economics, 30(2), pp111-117 [26]
Abstract: This study examines the daily return behavior of the Standard & Poor’s composite index over a period of more than half a century for evidence of the Friday the thirteenth effect. The results indicate that the effect is merely a statistical artifact and not the consequence of superstition-induced investor behavior. In addition, after taking into account the tendency for stock returns to be high at the turn of the month, the hypothesis that Friday returns on all days are the same cannot be rejected.
Ref: AA394


The Anomaly That Isn’t There: A Comment on Friday the Thirteenth
Authors [Year]: Dyl, Edward A. and Edwin D. Maberly [1988]
Journal [Citations]: The Journal of Finance, 43(5), pp1285–1286 [33]
Abstract: We examine returns to Standard and Poor’s 500 Index for all Fridays from 1940 through 1987 and for five subperiods within this 47-year period. From 1940 to 1987, the mean return to the S&P 500 Index was actually higher on the 82 Fridays falling on the 13th of the month than it was on the 2,315 other Fridays (i.e., those that were not a Friday the 13th), although the difference was not statistically significant. There is certainly no evidence of mean returns being lower in Friday the 13th than on other Fridays. In light cf our additional evidence, it appears that the pattern of returns on Friday the 13th reported by Kolb and Rodriguez was a chance occurrence and not the harbinger of yet another puzzling anomaly. There is no “Friday the 13th” effect.
Ref: AA480


Friday the Thirteenth: `Part VII’-A Note
Authors [Year]: Kolb, Robert W. and Ricardo J. Rodriguez [1987]
Journal [Citations]: The Journal of Finance, 42(5), pp1385-1387 [46]
Abstract: Many empirical studies have shown that average returns differ for each day of the week, although the underlying reasons remain a mystery. In particular, Friday returns are typically large relative to other days. In our context, this brings up the question of whether Friday the Thirteenth returns differ from the returns of other Fridays.This paper studies whether the mean return for Friday the Thirteenth is statistically different from the mean return for other Fridays. Given the negative connotation associated with Friday the Thirteenth, we test the null hypothesis of equal means for Friday the Thirteenths versus other Fridays against the alternative hypothesis of a lower mean return for Friday the Thirteenth. Our one-sided test results indicate that, in fact, the returns for Friday the Thirteenth have been significantly lower than the returns for all other Fridays over a long period.
Ref: AA393


See also

Other paper reviews.

 

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