Should Investors in Commodity Markets Be Superstitious (Based on the Example of 29 Commodities)?

Krzysztof Borowski

doi:10.18778/0208-6018.337.05

Authors

Krzysztof Borowski Warsaw School of Economics, Institute of Banking and Business Insurance

DOI:

https://doi.org/10.18778/0208-6018.337.05

Keywords:

market efficiency, calendar anomalies, unfortunate dates effect

Abstract

The issue of efficiency of financial markets has always fascinated scientists. It is significant from the point of view of assessing portfolio management effectiveness and behavioural finance. In the first part of this paper, the hypothesis of the unfortunate dates effect was tested upon 29 commodity prices in relation to the following four approaches: close‑close, overnight, open‑open, and open‑close. The rates of return were 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. The study proved the occurrence of seasonal effects on the so‑called unlucky dates.

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