Should Investors on the Warsaw Stock Exchange be Superstitious? On the Example of Returns of 24 Indexes of the Warsaw Stock Exchange

Abstract

The problem of financial markets efficiency, especially the calendar 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 upon 22 equity indices, published by the Warsaw Stock Exchange, in relation to the following four approaches: close-close, overnight, open-open, open-close calculated for the sessions falling on the 13^th and 4^th day of the month, Friday the 13^th and Tuesday the 13^th,while the second observation group is composed of rates of return of remaining sessions. In the following part of the paper, the statistical equality of one-session average rates of return (close-close) for sessions falling on Friday 13^th and sessions falling on other Fridays will be compared as well as for sessions falling on Tuesday the 13^th and sessions falling on other Tuesdays.