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Variability in Stock Market Intra-month Behavior

Steve LeCompte | | Posted in: Calendar Effects

Guide Calendar Effects Turn of the month and year

Does the U.S. stock market, as proxied by the S&P 500 Index (SP500) exhibit much variability in intra-month behaviors by calendar month? To investigate, we compare average daily cumulative SP500 returns across calendar months. Using daily SP500 returns during January 1990 through June 2025, we find that:

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Calendar Effects guide

More on turn of the month and year

  • U.S. Stock Market End-of-Quarter Effect Premium S&P 500 quarter-end (QEND) 8-day windows showed modestly higher average returns than turn-of-the-month windows, with Q3 consistently weak across subperiods (daily closes, Jan 1928–mid-Aug…
  • Turn-of-the-Month Effect for Currencies? Premium Turn-of-the-month (eight trading days centered on month-end) average abnormal returns for UUP, FXE and FXY versus all eight-day intervals were very small, with no…
  • Does the Turn-of-the-Month Effect Work for Asset Classes? Premium Average abnormal turn-of-the-month returns across 10 asset class ETFs (vs all eight-trading-day intervals) were 0.4% in first sample halves versus 0.1% in second halves…
  • Does the Turn-of-the-Month Effect Work for Sectors? Premium Average abnormal turn-of-the-month returns across nine Select Sector SPDR ETFs declined from 0.6% (first half) to 0.1% (second half) and 0.0% (last fourth) (Dec…
  • Stock Market Behavior Around Mid-year and 4th of July Free S&P 500 shows modest positive bias around mid-year through July 4th (0.087% vs 0.036% average daily return; 1950-2024; 10-day windows), but inconsistencies across subperiods…

All 183 articles in the Calendar Effects guide

Further Reading

Calendar Effects Sector Performance by Calendar Month Average returns and return dispersion across nine Select Sector SPDR ETFs (XLB, XLE, XLF, XLI, XLK, XLP, XLU,... Calendar Effects Comparing Intra-month S&P 500 Index Behaviors The Trading Calendar has links to charts of average month-to-date return for the S&P 500 Index (SP500) by... Calendar Effects, Size Effect, Value Premium Style Performance by Calendar Month Style ETFs show modest monthly return differences versus SPY, with value outperforming growth in Mar/Apr/Dec and growth leading... 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 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, Investing Expertise Using AI to Discover Calendar-based Return Anomalies Grok-identified turn-of-the-month window (last 3 to first 3 trading days; 38% of days) averaged 0.084% daily S&P 500...