The following chart shows the average daily S&P 500 Index returns for the three trading days before (T-3 to T-1) and the three trading days after (T+1 to T+3) Thanksgiving over the entire sample period, with one standard deviation variability ranges. The mean daily return for all trading days in the sample is 0.03%. Results on average suggest:
■Strength and low volatility during the trading days just before and just after Thanksgiving.
■Weakness and high volatility the second trading day after Thanksgiving.