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Is there a Friday the 13th effect in ermerging Asian stock markets?

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  • Auer, Benjamin R.
  • Rottmann, Horst

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.

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  • Auer, Benjamin R. & Rottmann, Horst, 2013. "Is there a Friday the 13th effect in ermerging Asian stock markets?," Weidener Diskussionspapiere 35, University of Applied Sciences Amberg-Weiden (OTH).
    • Handle: RePEc:zbw:hawdps:35
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    3. Harald Kinateder & Kimberly Weber & Niklas F. Wagner, 2019. "Revisiting Calendar Anomalies In Brics Countries," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 22(2), pages 213-236, July.
    4. Harshita & Shveta Singh & Surendra S. Yadav, 2019. "Unique Calendar Effects in the Indian Stock Market: Evidence and Explanations," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 18(1_suppl), pages 35-58, April.
    5. Ramona Dumitriu & Razvan Stefanescu, 2019. "Stock Prices Behavior Before and After Friday the 13th," Risk in Contemporary Economy, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, pages 20-30.
    6. Dmitry Burakov, 2018. "Do discounts mitigate numerological superstitions? Evidence from the Russian real estate market," Judgment and Decision Making, Society for Judgment and Decision Making, vol. 13(5), pages 467-470, September.
    7. Kumar, Satish & Rao, Sandeep & Goyal, Kirti & Goyal, Nisha, 2022. "Journal of Behavioral and Experimental Finance: A bibliometric overview," Journal of Behavioral and Experimental Finance, Elsevier, vol. 34(C).
    8. Evgeny A. Antipov & Elena B. Pokryshevskaya, 2015. "Are buyers of apartments superstitious? Evidence from the Russian real estate market," Judgment and Decision Making, Society for Judgment and Decision Making, vol. 10(6), pages 590-592, November.
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    10. Luo, Kevin & Tian, Shuairu, 2020. "The “Black Thursday” effect in Chinese stock market," Journal of Behavioral and Experimental Finance, Elsevier, vol. 27(C).
    11. Kinateder, Harald & Papavassiliou, Vassilios G., 2021. "Calendar effects in Bitcoin returns and volatility," Finance Research Letters, Elsevier, vol. 38(C).
    12. Auer, Benjamin R., 2016. "On time-varying predictability of emerging stock market returns," Emerging Markets Review, Elsevier, vol. 27(C), pages 1-13.
    13. Krzysztof Borowski, 2019. "Should Investors on Equity Markets Be Superstitious? (Example of 7 World Stock Indexes Components)," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 11(1), pages 151-174, January.

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    Keywords

    Friday the 13th; GARCH; seasonality; emerging markets;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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