Stock Market Returns Around Holidays in Aggregate

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: (more…)