US holidays and European markets


European stock markets tend to have positive and high returns on days when the NYSE is closed. The effect is significant when the previous day’s return on the NYSE has been positive.

Brief overview

The US has six holidays every year that are not holidays in Europe:

  • Martin Luther King Day (the third Monday in January)
  • President’s Day (the third Monday in February)
  • Memorial Day (last Monday in May)
  • Independence Day (the fourth of July)
  • Labour Day (the first Monday in September)
  • Thanksgiving day (the fourth Thursday in November)

How do the European equity markets  behave on these days when the US markets are closed?

This was the question asked by the authors of an academic paper (Casado, Muga and Santamaria, 2011).

The authors analysed open and close values for the CAC40, DAX, FTSE 100, IBEX35 and EUROSTOXX50 (for the euro-zone stock market)  for the period 1991-2008. Their results were remarkable.

Their research found the average daily returns for the European markets when the US market was closed was 0.32%, which was 15 times greater than the daily returns on all days.The greatest (NYSE-closed) daily returns were 0.42% for the German market.

Interestingly they found similar results for the open to close data on the NYSE-closed days. Meaning that the information from the previous day’s US market had been fully absorbed at the market open, and the effect is attributable to European trading.

Because the effect is so great it has a clear economic significance as it is possible to obtain significant returns after deducting trading costs by trading index futures.

The following figure from the paper shows the result of systematically buying FTSE 100 futures at the open on a NYSE-closed day and where the previous day’s NYSE return was positive, and then closing the position at the close on the same day. The red line is the equity chart for the strategy (left axis), and blue line the FTSE 100 Index (right axis).

Casado_The effect of US holidays on the European marketsThe strategy had positive returns in both bull and bear periods for the market.


Casado, Jorge and Muga, Luis and Santamaria, Rafael, The Effect of US Holidays on the European Markets: When the Cat’s Away (2011)


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