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

Krzysztof Borowski

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 13th and 4th day of the month, Friday the 13th and Tuesday the 13th,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 13th and sessions falling on other Fridays will be compared as well as for sessions falling on Tuesday the 13th and sessions falling on other Tuesdays. 


Keywords


market efficiency; calendar anomalies; Friday the 13th rate of return; Tuesday the 13th rate of return; unfortunate dates effect

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DOI: http://dx.doi.org/10.17951/h.2017.51.4.37
Data publikacji: 2017-12-08 15:26:28
Data złożenia artykułu: 2017-04-05 14:49:35


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