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Stock Market and the Super Bowl

January 29, 2018 • Posted in Calendar Effects

Investor mood may affect financial markets. Sports may affect investor mood. The biggest mood-mover among sporting events in the U.S. is likely the National Football League’s Super Bowl. Is the week before the Super Bowl especially distracting and anxiety-producing? Is the week after the Super Bowl focusing and anxiety-relieving? Presumably, post-game elation and depression cancel between respective fan bases. Using past Super Bowl dates since inception and daily/weekly S&P 500 Index data for 1967 through 2017 (51 events), we find that:

The following chart compares average behaviors of the S&P 500 Index the week before and the week after the Super Bowl over the entire sample period and over two equal subperiods, with one standard deviation variability ranges. The average return for all weeks during 1967-2017 is +0.16%. Results are:

  • For the entire sample period, average return during the week before (after) the Super Bowl is 0.06% (+0.62%), with standard deviation 2.30% (2.16%).
  • For the 1967-1992 subperiod, average return during the week before (after) the Super Bowl is -0.14% (+0.79%), with standard deviation 2.24% (1.87%).
  • For  the 1993-2016 subperiod, average return during the week before (after) the Super Bowl is 0.26% (+0.44%), with standard deviation 2.40% (2.44%).
  • For the 27 American Football Conference wins,  average return during the week before (after) the Super Bowl is -0.14% (+0.40%), with standard deviation 2.11% (2.14%).
  • For the 24 National Football Conference wins,  average return during the week before (after) the Super Bowl is 0.29% (+0.87%), with standard deviation 2.53% (2.19%).

Results consistently indicate that the week after the Super Bowl is stronger than the week before, though less distinctly for the second half of the sample period. However, sample and especially subsample sizes are modest, so a few more observations could materially alter findings.

Might daily data clarify?

The next chart plots average daily S&P 500 Index returns from five trading days before “Super Sunday” (S-5) to five trading days after (S+5), excluding two Mondays before the Super Bowl that are market holidays. Results for the five trading days before the Super Bowl are erratic, but all three views agree on mid-week strength for the five trading days after. Subsample sizes are only 25-26, with variability large compared to average movements, so confidence in predictability is low.

In summary, evidence from simple tests on a modest sample suggests that the U.S. stock market may lean toward abnormal strength during the week after the Super Bowl.

Cautions regarding the finding include:

  • As noted, any return anomaly is small compared to return variability, so experience by year varies widely.
  • To the extent that the distribution of daily S&P 500 Index returns is wild, interpretation of the average return and standard deviation of returns breaks down.
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