Evidence-based investing research
Login Join
Value Investing Strategy (Strategy Overview)
Allocations for November 2026 (Final)
Cash TLT LQD SPY
Momentum Investing Strategy (Strategy Overview)
Allocations for November 2026 (Final)
1st ETF 2nd ETF 3rd ETF

Stock Market Returns Around Holidays in Aggregate

Steve LeCompte | | Posted in: Calendar Effects

Guide Calendar Effects Holidays

Is the behavior of the U.S. stock market around exchange holidays consistent enough to generate an aggregate pattern? To investigate, we look at daily S&P 500 Index returns from three trading days before a holiday through three trading days after for the following holidays (adding the Super Bowl) as available since 1950:

New Year's Day (74 observations, including 2024)
Super Bowl (58 observations, including 2024)
Good Friday (74 observations)
Memorial Day (53 observations)
4th of July (74 observations)
Labor Day (74 observations)
Thanksgiving (74 observations)
Christmas (74 observations)

The total number of observations is 555. Using daily closes of the S&P 500 Index during the specified intervals around holidays, we find that:

Subscribe to Keep Reading

Get the research edge serious investors rely on.

  • 1,200+ research articles
  • Monthly strategy signals
  • 20+ years of backtested analysis
$17.99 /month

Cancel anytime

Subscribe Now

Calendar Effects guide

More on holidays

  • Stock Market Returns Around Labor Day Free S&P 500 shows modest strength one day before Labor Day but recent data undermines the pattern, with noise dominating any signal (1950-2024; daily returns;…
  • Stock Returns Around Memorial Day Free S&P 500 Index shows little anomalous behavior around Memorial Day, with daily returns averaging near the 0.036% baseline across the M-3 to M+3 window…
  • Stock Returns Around Easter Free Does the seasonal shift marked by the Easter holiday, with the U.S. stock market closed on the preceding Good Friday, produce anomalous returns? To…
  • Stock Market and the Super Bowl Free S&P 500 averaged +0.51% the week after the Super Bowl versus 0.02% the week before (1967–2025; 59 events; weekly returns; descriptive, not a trading…
  • Stock Returns Around New Year’s Day Free S&P 500 shows abnormal strength from one week before through two days after New Year's Day, followed by a fade, though noise generally dominates…

All 183 articles in the Calendar Effects guide

Further Reading

Calendar Effects Stock Market Returns Around Labor Day S&P 500 shows modest strength one day before Labor Day but recent data undermines the pattern, with noise... Calendar Effects Stock Returns Around Memorial Day S&P 500 Index shows little anomalous behavior around Memorial Day, with daily returns averaging near the 0.036% baseline... Calendar Effects Stock Market Behavior Around Mid-year and 4th of July S&P 500 shows modest positive bias around mid-year through July 4th (0.087% vs 0.036% average daily return; 1950-2024;... Calendar Effects Stock Returns Around Easter Does the seasonal shift marked by the Easter holiday, with the U.S. stock market closed on the preceding... Calendar Effects U.S. Stock Market End-of-Quarter Effect S&P 500 quarter-end (QEND) 8-day windows showed modestly higher average returns than turn-of-the-month windows, with Q3 consistently weak... Calendar Effects Stock Returns Around New Year’s Day S&P 500 shows abnormal strength from one week before through two days after New Year's Day, followed by...