Good Friday and the Stock Market

30Mar10

The U.S. markets will be closed on 04/02 for Good Friday. This is a quick look at how the market fares around this holiday.

Note: this study is included on our new Monthly Seasonality Map.

Just the Numbers

Between 1950 and 2009, the S&P 500 has risen on the day-before GF 67% of the time for an average gain of 0.34%, but risen on the day-after only 43% of the time for an average loss of -0.18%.

Numbers for the number lovers…

Looking just at these long run averages, it appears that the market is strong the day before, and weak the day after, Good Friday.

But readers know I hate just looking at averages because they don’t tell us how consistent the observation has been or whether it’s waxing or waning, so to answer those questions, in the following chart I’ve assumed a trader was only long the S&P 500 index on either the day before (green) or the day after (red) Good Friday, each year from 1950.


[frictionless, logarithmically-scaled, yearly-interval]

What does the chart tell us?

The U.S. market has been consistently bullish the day prior to Good Friday (green), and the observation does not appear to be waning in effectiveness. I like it.

The market has tended to be bearish the day after the Good Friday holiday (red), but almost all losses came between the late 70′s and 90′s. This day-after GF effect has been much less consistent and might not be exploitable in today’s market.

Happy Trading,
ms

P.S. I didn’t show it above, but the TWO days before or after GF have not been consistently bullish or bearish.

. . . . .

To stay up to date with what’s happening at the MarketSci Blog, we recommend subscribing to our RSS Feed or Email Feed.



2 Responses to “Good Friday and the Stock Market”

  1. 1 Jeff Pietsch

    How about when a jobs report was due that Friday? ;-)

  2. This is not pertinent to your post, but I thought you would be interested in a Monte Carlo simulation model I developed to test market timing systems. My first evaluation was on moving averages, which is discussed here:

    http://easyretirementinvesting.com/2010/03/proof-that-long-term-market-timing-works/


Leave a Reply

Please log in using one of these methods to post your comment:

WordPress.com Logo

You are commenting using your WordPress.com account. Log Out / Change )

Twitter picture

You are commenting using your Twitter account. Log Out / Change )

Facebook photo

You are commenting using your Facebook account. Log Out / Change )

Google+ photo

You are commenting using your Google+ account. Log Out / Change )

Connecting to %s