Monday, September 3, 2012

Labor Day and the S&P 500: the market rises 48.3% annualized the day prior to Labor Day and 28.8% annualized the day after...

Labor Day and Stock Market:  the day before and after the holiday tend to rise.
One of the most fascinating aspects of the stock market is its tendency to rise shortly before and after holidays.  The reason this is fascinating is that it continues to persist despite widespread publicity.  The efficient market hypothesis (and common sense) dictate that if the market tends to rise on a given day, once this observation becomes widely known then people will buy the day before, changing the pattern or making it useless.  Yet seasonality shows no sign of going away anytime soon.
Labor Day is a profitable holiday to trade around as the table below shows.  To construct this table, I calculated the percentage change in the S&P 500 from 1980 to the present, then calculated the average percentage change as well as the percentage of times the market rose:

Labor Day
Avg:
-0.15%
0.16%
 
0.10%
0.03%
-0.22%
Annzd:
-31.7%
48.3%
 
28.8%
6.8%
-41.6%
Close%:
39%
58%
 
50%
53%
50%
 
Labor Day falls on:
-2
-1
Labor Day
1
2
3
1980
1-Sep
-1.2%
0.2%
 
1.1%
1.9%
-0.6%
1981
7-Sep
0.4%
-1.8%
 
-1.0%
-1.7%
0.4%
1982
6-Sep
1.7%
2.0%
 
-1.1%
0.7%
-0.2%
1983
5-Sep
-0.1%
0.5%
 
1.8%
0.0%
-0.1%
1984
3-Sep
-0.3%
0.0%
 
-1.1%
-0.4%
0.8%
1985
2-Sep
0.1%
-0.2%
 
-0.4%
-0.3%
-0.1%
1986
1-Sep
-0.2%
0.0%
 
-1.7%
0.6%
1.5%
1987
7-Sep
-0.5%
-1.1%
 
-1.0%
0.1%
1.0%
1988
5-Sep
-1.2%
2.4%
 
0.4%
0.1%
0.0%
1989
4-Sep
0.2%
0.6%
 
-0.3%
-0.9%
-0.3%
1990
3-Sep
-1.7%
1.2%
 
0.2%
0.4%
-1.2%
1991
2-Sep
0.0%
-0.3%
 
-0.8%
-0.6%
-0.2%
1992
7-Sep
0.3%
-0.2%
 
0.5%
0.5%
0.0%
1993
6-Sep
-0.4%
0.0%
 
-0.6%
-0.4%
0.2%
1994
5-Sep
-0.5%
-0.5%
 
0.2%
-0.2%
0.5%
1995
4-Sep
0.2%
0.3%
 
0.9%
0.2%
0.0%
1996
2-Sep
-1.1%
-0.8%
 
0.4%
0.1%
-0.9%
1997
1-Sep
-1.1%
-0.5%
 
3.1%
0.0%
0.3%
1998
7-Sep
-0.8%
-0.9%
 
5.1%
-1.7%
-2.6%
1999
6-Sep
-0.9%
2.9%
 
-0.5%
-0.5%
0.3%
2000
4-Sep
1.0%
0.2%
 
-0.9%
-1.0%
0.7%
2001
3-Sep
-1.7%
0.4%
 
-0.1%
-0.1%
-2.2%
2002
2-Sep
0.0%
-0.2%
 
-4.2%
1.8%
-1.6%
2003
1-Sep
0.6%
0.5%
 
1.4%
0.4%
0.2%
2004
6-Sep
1.1%
-0.4%
 
0.7%
-0.4%
0.2%
2005
5-Sep
0.1%
-0.3%
 
1.3%
0.2%
-0.4%
2006
4-Sep
-0.1%
0.6%
 
0.2%
-1.0%
-0.5%
2007
3-Sep
-0.4%
1.1%
 
1.0%
-1.2%
0.4%
2008
1-Sep
1.5%
-1.4%
 
-0.4%
-0.2%
-3.0%
2009
7-Sep
0.9%
1.3%
 
0.9%
0.8%
1.0%
2010
6-Sep
0.9%
1.3%
 
-1.1%
0.6%
0.5%
2011
5-Sep
-1.0%
-2.6%
 
-0.7%
2.8%
-1.0%
2012
3-Sep
-0.7%
0.5%
 



A few things jump out:
The day prior to and immediately following Labor Day are most profitable, rising 0.16% and 0.10% on average.   This may not sound impressive until you consider that this is only a single trading day; annualized, it works out to an impressive 48.3% and 28.8% respectively).  
Interestingly, the days before and after this profitable period tend to be weak with the market falling almost two-thirds of the time the second-to-last trading day prior Labor Day, and losing .22% on average on the third trading day following Labor Day.
The market rose 58% of the days prior to Labor Day.
As with any seasonal pattern, of course, this should be used as one of many factors when making a trading decision.  If you are considering going long the market anyway, it might make sense to buy at the open the day prior to Labor Day, and if you are considering selling, to wait until the close following Labor Day.

15 comments:

  1. Thanks to my father who informed me concerning this website, this weblog is genuinely amazing.


    Visit my web site ... piercings Port Elizabeth

    ReplyDelete
  2. I was recommended this website by means of my cousin.
    I am not positive whether or not this submit is written through him as
    no one else know such certain approximately my trouble.
    You're wonderful! Thanks!

    Here is my web blog car parts Malta

    ReplyDelete
  3. I need to to thank you for this very good read!
    ! I definitely loved every bit of it. I have you book-marked to look
    at new things you post…

    Here is my web site :: any repairs to garage doors Sandton

    ReplyDelete
  4. You need to be a part of a contest for one of the highest quality sites on the web.
    I'm going to highly recommend this web site!

    my homepage - recruitment Africa

    ReplyDelete
  5. I absolutely love your blog and find many of your post's to be exactly I'm looking
    for. Do you offer guest writers to write content for you personally?
    I wouldn't mind publishing a post or elaborating on some of the subjects you write concerning here. Again, awesome weblog!

    Also visit my blog post; specialised cakes

    ReplyDelete
  6. I think this is one of the most vital info for me.
    And i'm glad reading your article. But should remark on few general things, The website style is wonderful, the articles is really excellent : D. Good job, cheers

    my web blog - events management Cape Town

    ReplyDelete
  7. Thanks for finally writing about > "Labor Day and the S&P 500: the market rises 48.3% annualized the day prior to Labor Day and 28.8% annualized the day after..." < Liked it!

    Also visit my web page :: digital signage south africa

    ReplyDelete
  8. I relish, lead to I found exactly what I was looking for.

    You have ended my four day long hunt! God Bless
    you man. Have a great day. Bye

    Review my weblog: bookkeeping

    ReplyDelete
  9. This site was... how do I say it? Relevant!! Finally I've found something which helped me. Thanks!

    My page :: accountants

    ReplyDelete
  10. I just like the valuable info you provide in your articles.
    I'll bookmark your blog and take a look at once more right here frequently. I'm reasonably sure I will be informed a lot of
    new stuff right right here! Good luck for the following!


    my blog: Domestic appliance Repairs

    ReplyDelete
  11. I need to to thank you for this excellent read!! I definitely enjoyed every bit of it.
    I've got you book-marked to look at new stuff you post…

    Have a look at my web page decor and vintage pieces for the home

    ReplyDelete
  12. Excellent article! We are linking to this great content on our website.

    Keep up the good writing.

    my site ... cranes

    ReplyDelete
  13. Good day! Do you know if they make any plugins
    to protect against hackers? I'm kinda paranoid about losing everything I've worked hard on.
    Any tips?

    Look into my web-site - sign company

    ReplyDelete
    Replies
    1. I just back up everything up locally (on a hard drive and thumb drive). I don't trust servers although I have never lost a single file (I have lost thumb drives, but thankfully they were backed up).

      Delete
  14. excellent points altogether, you simply gained a brand new reader.
    What would you suggest in regards to your put up that you just made a few days in the past?
    Any sure?

    Here is my site :: digital printing durban

    ReplyDelete