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

ISSN： 1466-4305

Source： Applied Financial Economics, Vol.15, Iss.2, 2005-01, pp. : 107-119

Disclaimer: Any content in publications that violate the sovereignty, the constitution or regulations of the PRC is not accepted or approved by CNPIEC.

Previous Menu Next

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.