Stock Returns Around Easter
Posted in Calendar Effects
March 19, 2010
Does the Easter holiday, with the U.S. stock market closed on the preceding Friday, tend to produce anomalous returns? To investigate, we analyze the historical behavior of the S&P 500 Index during the week (four trading days) before and the week (five trading days) after the holiday. Using daily closing levels of the S&P 500 index for 1950-2009 (60 events), we find that:
The following chart shows the average daily S&P 500 Index returns for the four trading days before (E-4 to E-1) and the five trading days after (E+1 to E+5) Easter over the entire sample period, with one standard deviation variability ranges. The mean daily return for all trading days in the sample is 0.03%. Results on average suggest an up-down-up oscillation from the trading day just before through two trading days after Easter.
To check the reliability of this pattern, we look at two subsamples.
The next chart compares the average daily returns for the four trading days before and five trading days after Easter for two subsamples: 1950-1989 (40 events), and 1990-2009 (20 events). This chart has no variability ranges and uses a finer vertical scale than the preceding one. Results provide some support for belief in the pattern noted above.
In summary, best guess is that there may be an anomalous up-down-up oscillation in the U.S. stock market from the trading day just before through two trading days after Easter.
