Day-of-the-week effects in the pre-holiday returns of the Standard & Poor's 500 stock index

Stephen Keef and Melvin Roush

Applied Financial Economics, 2005, vol. 15, issue 2, 107-119

Abstract: This study investigates the day-of-the-week effects in the pre-holiday returns of the Standard & Poor's 500 stock index. The period investigated is 1930-1999. The analysis is based on within-day contrasts and between-day contrasts. There are three major findings. First, the results are consistent with prior research in that there is a strong pre-holiday effect up to 1987, but the pre-holiday effect is greatly diminished after 1987. Second, contrary to that frequently observed in the literature for typical days, there is no evidence of a weekend effect in pre-holiday returns. Third, a Labor Day effect is observed in the pre-1987 era. The return on the day before Labor Day is significantly greater than the return before other holidays that fall on a Monday. However, this effect is not observed after 1987. A number of other findings are discussed.

Date: 2005
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DOI: 10.1080/0960310042000293164

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