Holiday Effect — SPY

SeasonAlpha's Holiday Effect tool examines how prices behave around exchange holidays. It centers on two seasonal patterns: the pre-holiday effect — the tendency toward above-average returns on the last trading days before a market closure — and the post-holiday effect, the typical behaviour on the first sessions after it. For each ticker the tool auto-detects the venue (NYSE, XETRA or LSE) and evaluates that exchange's holidays over the chosen period, showing the average return curve, a per-holiday ranking, a monthly heatmap and a significance test.

Read the return curve along a timeline aligned to the holiday: positions like t−3, t−2, t−1 are the trading days before the closure, t0 marks the first session on or after the holiday, t+1 to t+3 the days after. A rise before t0 indicates a positive pre-holiday effect, a move after t0 the post-holiday effect. The ranking shows which holidays delivered the strongest or weakest average return; win rate, standard deviation and the event count (n) indicate how reliable a pattern was. Higher n and tighter spread mean a more robust picture.

Methodically the tool counts in trading days, not calendar days: the event window spans N sessions before and after the holiday, correctly skipping weekends and further closures. Holidays are computed dynamically (Gauss algorithm for the moving Easter date, fixed and variable holidays per exchange) — crucially, the calendar follows the trading venue, not the company's home country. The NYSE closes on Thanksgiving and Juneteenth, XETRA on Easter Monday and Christmas Eve, the LSE on its bank holidays. Each event is normalized to the window start (close at t−N = 0 percent), so holidays from different years and price levels can be averaged fairly. Prices come from daily-updated data (Yahoo Finance via Supabase).

The Holiday Effect is a statistical analysis tool for context, not investment advice or a return promise. Historical patterns — even well-documented ones like the pre-holiday effect — can weaken, vanish or reverse and guarantee no future results. For rare holidays or short periods the sample (n) is small and single outlier years can distort the average. The significance test helps judge whether an observed effect is statistically different from zero or likely chance. Use it as additional context for your own research, not as a sole basis for decisions.

Frequently Asked Questions

What is the pre-holiday effect? It is the phenomenon that equity markets have historically often shown above-average returns on the last trading days before an exchange holiday. The tool measures it descriptively by averaging the normalized returns in the window before each holiday across many years. It is a statistical pattern from the past, not a guarantee for the future.

Why do holiday effects differ by exchange? Each exchange has its own holiday calendar. The NYSE closes on Thanksgiving and Independence Day, XETRA on Easter Monday and Christmas Eve, the LSE on bank holidays. The tool detects the venue automatically from the ticker suffix and uses the matching calendar, so the same stock can show different holiday effects on different exchanges.

Does the tool use calendar days or trading days? Trading days only. The window before and after a holiday is counted in exchange sessions, not calendar days, so the first session after the holiday is t0 regardless of intervening weekends or closures. Returns are normalized to the window start (0 percent) to make events from different years comparable.