Holiday Effects in the US Equity Futures Markets

We investigate the holiday effect in US equity futures markets during three sub-periods 1993-2011, 1993-2020, and during the 2020 covid-19 year for small cap stocks measured by the Russell2000 and large cap stocks measured by the S&P500. All the days from -3 before the holiday to -1 had gains an...

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Bibliographic Details
Published inJournal of prediction markets Vol. 15; no. 3
Main Authors Ziemba, William, Dzhabarov, Constantine
Format Journal Article
LanguageEnglish
Published Buckingham The University of Buckingham Press 16.11.2021
Subjects
Futures market
Holidays & special occasions
United States > US
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Summary:We investigate the holiday effect in US equity futures markets during three sub-periods 1993-2011, 1993-2020, and during the 2020 covid-19 year for small cap stocks measured by the Russell2000 and large cap stocks measured by the S&P500. All the days from -3 before the holiday to -1 had gains and for the large caps there were gains on +1 and +2. The effect is stronger for the small caps. The year 2020 had results similar to the longer series with positive gains. We show the various holidays by holiday day and observe that the -3 day had gains on all the holidays whereas the other days did not. The effect has diminished in the 1990s and 2000s and only the -3 day is statistically significant. The -3 day in the futures anticipates the cash move on -1 day.
ISSN:1750-6751
1750-676X
DOI:10.5750/jpm.v15i3.1964