Saturday, August 25, 2007
S&P 500 Returns by Day of Week 1962-2007
From 1962 to August 24, 2007, the S&P 500 returned different average daily returns based on the day of the week. The only negative day turns out to be Monday with a negative return of -0.044%. Wednesday turns out to be the largest percentage average daily gain at 0.087%.
From the same period, Tuesday seems to be the day with the largest average daily trading range with a range of 1.462%. Friday has the lowest average daily trading range of 1.407%.
The third chart shows relative volume. Since volume has increased greatly from 1962, we do not want to overweight the volume in the later decades. So to balance out volume, we use relative volume. We calculate relative volume by taking volume and dividing by the previous twelve months average volume.
The chart shows that Monday is the lowest volume day with 0.99 relative volume, and Wednesday is the largest relative volume day with a 1.12 factor.