Daily Commentary - Posted on Sunday, December 25, 2011, 9:22 PM GMT +1

3 Comments


Dec Sunday 25

NYSE Full-Day Closings 1850 – 2050

Due to the fact that calendar effects (e.g. historical return behavior surrounding closings of the New York Stock Exchange) play an important part in my studies and blog postings, I have been searching for a complete and accurate listing of all foreseeable (regular exchange holidays) and special (event-driven) closings of the New York Stock Exchange.

The Chronos Date/Time Library provides a complete listing, unfortunately I identifyed a couple of data quality issues (Flag Day regarded as an exchange holiday; if a holiday fell on a Saturday, it is assumed that the exchange had been closed on the Friday before although the board adopted that policy not before July 3, 1959; …; I got in contact to the guy behind the site, and he promised to come back and fix it).

It took some time to check for different sources like the Chronos Date/Time Library, NYSE archive (regular holidays not listed, and partly misleading or inaccurate, e.g. Dec. 12, 1950 was neither a Saturday nor the Saturday before Christmas Eve; in fact the NYSE was closed on Saturday, Dec. 23 ), Matlab (´nyseclosures´, but dates only, and a data issue with Good Friday), among others. The problem is that there are always exceptions to the rule. For example Thanksgiving.

Historically Thanksgiving (NYSE closed all day) had been declared to be

  • the last Thursday in November until 1938;
  • the next-to-last Thursday in November from 1939 to 1941
    (therefore the 3rd Thursday in 1940 and 1941);
  • the last Thursday in November in 1942;
  • the fourth Thursday in November since 1943;

(you won’t find this accuracy of discrimination anywhere, except wikipedia, but you’ve to go through the text a couple of times in order to get the message)

It took a couple of hours, but now I’m confident that my (searchable) database (see widget on the right side of the blog) is complete and accurate, comprising all NYSE full-day closures from 1850 to 2050 (all regular exchange holidays and special, event-driven closings from 1850 to present, and anticipated regular, foreseeable exchange holidays from 2012 to 2050).

You may search (filter) for certain years (e.g. ´1966´), months (e.g. ´Jan´), certain holidays (e.g. ´Thanksgiving´), holidays observed (´observed´), holidays falling on a specific weekday (e.g. ´Wed´), special closings due to funerals (´Funeral´) or severe weather conditions (´weather´), but no wild-cards (e.g. ´*´, ´?´) are allowed for.

I wish you a merry Christmas,

Frank

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Disclaimer

The information on this site is provided for statistical and informational purposes only. Nothing herein should be interpreted or regarded as personalized investment advice or to state or imply that past results are an indication of future performance. The author of this website is not a licensed financial advisor and will not accept liability for any loss or damage, including without limitation to, any loss of profit, which may arise directly or indirectly from use of or reliance on the content of this website(s). Under no circumstances does this information represent an advice or recommendation to buy, sell or hold any security.

I may or may not hold positions for myself, my family and/or clients in the securities mentioned here. Actions may have been taken before or after information is presented, and any opinions expressed in this site are subject to change without notice.

(Data courtesy of MetaStock and Pinnacle Data Corp., and for data import, testing, surveys and statistics I use MATLAB from MathWorks)

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Comments (3)

 

  1. Yigit says:

    Hi Frank

    Chronos Date/Time Library directs to cannabis related site.

    Fyi
    Yigit

  2. Seb says:

    Do you know of any such database for NASDAQ?

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