Friday the thirteenth and the Financial Times Industrial Ordinary Shares Index 1935-94

In recent years much evidence has been documented of the existence of regul arities in security price returns. However, one of the least investigated a nomalies concerns the so-called 'Friday the 13th' effect, where returns on Fridays which fall on the 13th of the month display significantly lower ret urns than other Fridays. Employing daily logarithmic returns from the Finan cial Times Industrial Ordinary Shares Index (FT 30) for the period July 193 5 through December 1994, we find no evidence of a Friday the 13th effect. I ndeed, if anything, we find returns are higher on Friday the 13th than on o ther 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 effe ct, and that once again returns on Friday the 13th tend to be higher than o n other Fridays. Finally, we conclude that our results support the extremel y limited evidence documented for the UK market concerning the Friday the 1 3th effect.