StockFetcher Forums · General Discussion · FYI: Calendar Effects of the Stock Market<< >>Post Follow-up
485 posts
msg #56176
Ignore guru_trader
10/29/2007 11:46:34 PM

The following chart shows the average year-to-date percentage change in the S&P 500 index for the entire calendar year (trading days 0-252, with day 0 representing the closing price from the prior year) using data from 12/29/89 through 9/28/07. We exclude trading days 253 and 254 because most years do not have that many trading days. For 2001, we insert four dummy trading days after 9/10/01 with the same closing level as 9/10/01 to avoid calendar misalignment for the balance of that year due to the interruption of market activity after the terrorist attacks of September 2001.

The following chart shows the average daily returns for the S&P 500 index by calendar date since 1950 (57+ years) and since 1990 (17+ years). The distributions appear to be roughly normal. The average return for all calendar dates (weighted equally) is 0.04% for both the total sample and for the recent subsample. The standard deviation of daily returns for all calendar dates since 1950 (1990) is 0.16% (0.30%). In the total sample, extreme behaviors for particular dates are more likely to cancel and produce averages for specific dates near the overall average.

In our typical full-year and month-by-month performance of the stock market (as represented by the S&P 500 index) by trading day based on its average behavior since 1990. The time of year affects human activities and moods, both through natural variations in the environment and through artificial customs and laws. Do such calendar effects systematically and significantly influence investor/trader attention and mood, and thereby equity prices? Here is a listing of past blog entries related to calendar effects in the stock market:

1 posts
msg #56209
Ignore akalesismore
10/30/2007 7:11:49 PM

Great information....many thanks!

169 posts
msg #56211
Ignore betyerbottomdollar
10/30/2007 7:25:39 PM

That is pretty cool. Looks like some intern working on his economics degree has spent many hours in front of the computer to come up with that.

StockFetcher Forums · General Discussion · FYI: Calendar Effects of the Stock Market<< >>Post Follow-up

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