Tuesday, January 01, 2008

2007 Stock Market Returns by Day of Week

When you think about the timing of economic reports, including Fed announcements, not all days are created equal
. That raises the possibility of seeing different patterns of returns as a function of day of week.

Above we see 2007 returns in the cash Dow Jones Industrial Average as a function of day of week. Wednesday produced far and away the largest point gains, much of which was retraced on Thursday.

Interestingly, simply buying stocks at the close on Tuesday and selling at the close on Wednesday accounted for all of the market's gains for 2007--and then some. My look at the data suggests that this is not because returns were more volatile on Wednesdays. Rather, more of the big point days were winners on Wednesday than on other days.


Stock Market Performance by Hour of the Day


techfarmer said...

Interesting look at 2007 Day of Week Returns.

Your results on Wednesday returns seem to match my study of returns from 1962 to 2007:

Stock Market Returns by Day of Week 1962 to 2007

Wednesday appears to be the best stock market gainer day during the 1962 to 2007 period.

I used the S&P 500 index in my study.

Brett Steenbarger, Ph.D. said...

Thanks much for the comment and the link, Techfarmer! Very interesting phenomenon--