Keef, Stephen P; Khaled, Mohammed S - School of Economics and Finance, Victoria Business School - 2011
This examination of the Friday the 13th effect, in 62 international stock indices for the period 2000 to 2008 …. The turn of the month effect on Fridays is also examined. Three important results relating to the Friday the 13th effect … are observed. First, the depressed Friday the 13th effect is present when the return on the prior day is negative. Second …