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The Trading Calendar maps the average behavior of the S&P 500 index by trading day of the year since the beginning of 1990. Are there particular calendar days of the year that are especially bad or good for U.S. stocks? Using daily closes for the S&P 500 index during 1/3/50-10/19/07, we find that...
The following chart shows the average daily returns for the S&P 500 index by calendar date since 1950 (57+ years) and since 1990 (17+ years). The distributions appear to be roughly normal. The average return for all calendar dates (weighted equally) is 0.04% for both the total sample and for the recent subsample. The standard deviation of daily returns for all calendar dates since 1950 (1990) is 0.16% (0.30%). In the total sample, extreme behaviors for particular dates are more likely to cancel and produce averages for specific dates near the overall average.
The outlier at the far left of the 1950-sample is October 19 (driven by 1987). The outlier at the far right for the 1990-present subsample is October 28.
What are the ten worst and ten best calendar dates, on average, for U.S. stocks?
The following table shows the ten best and ten worst calendar dates for U.S. stocks, based on average returns for the S&P 500 index, since 1950. Note that three days from October appear in both the best (10/28, 10/1 and 10/2) and worst (10/16, 10/22 and 10/19) lists, confirming the volatility of that month. Excluding 1987, 10/19 would be slightly negative but not close to the bottom ten.
The next table shows the ten best and ten worst calendar dates for U.S. stocks, based on average returns for the S&P 500 index, since 1990. October is again well-represented in the "best" list.
The presence of 10/28 in both "best" lists suggests persistence, but the the average return for this date is more than half-way down the list of days (slightly negative) for a 1950-1989 subsample. The recent performance of stocks on this date drives its outperformance for the entire sample. (However, both 10/29 and 10/30 are in the top ten days for 1950-1989.) Similarly, 10/1 is unexceptional in the 1950-1989 subsample. Lack of persistence across subsamples indicates random fluctuations.
The 1950-1989 subsample has four days from October in the top ten days and three days from October in the bottom ten.
In summary, examination of stock returns by calendar date offers no good evidence of persistently good or bad dates, but it does support a belief that October is especially volatile.
For related research, see Blog Synthesis: Calendar Effects and the Trading Calendar.
