Building an NYSE Trading Calendar for Historical Price Research
Summary
The document concerns constructing a business-day calendar for historical NYSE price analysis. The researcher wants to omit weekends, exchange holidays, and exceptional closures so that observations align with days when trading occurred. A sample calendar illustrates how dates can be marked as excluded in statistical software, but its listed dates cover only part of the desired research period.
Responses point to historical exchange closing records and official announcements for holidays and special shutdowns, including weather-related closures. Another suggestion is to infer approximate trading dates from a major US equity index price series. The thread does not reproduce a complete, verified calendar, and the index-series shortcut is explicitly approximate. Researchers should therefore confirm dates against authoritative exchange records, especially when exact session alignment matters for return calculations or event studies.
Key ideas
- Historical price analysis should account for weekends, scheduled holidays, and exceptional exchange closures.
- A business calendar can mark non-trading dates so statistical software skips them.
- Official exchange closing records and announcements are useful sources for historical closure dates.
- An index price series can suggest trading dates, but it may only approximate the exchange calendar.
Tags
Full text
# List of dates at which the NYSE was closed from 2005 to 2014?
# List of dates at which the NYSE was closed from 2005 to 2014?
I'm doing research on historical price movements on the New York Stock Exchange.
Because the NYSE is closed on weekends, on holidays, and sometimes because of special events, special care needs to be taken. For my purpose, I wish to ignore these days and pretend as if the previous open day is the actual last day of business.
For example, in my statistical software STATA this can be achieved by specifying these special dates in a business calendar file, like so:
```
version 12
purpose "Market holidays and special closing days calendar"
dateformat dmy
range 03jan2011 31dec2013
centerdate 03jan2011
omit dayofweek (Sa Su)
omit date 01jan2011
omit date 17jan2011
omit date 21feb2011
omit date 22apr2011
omit date 30may2011
omit date 04jul2011
omit date 05sep2011
omit date 24nov2011
omit date 26dec2011
omit date 02jan2012
omit date 16jan2012
omit date 20feb2012
omit date 06apr2012
omit date 28may2012
omit date 04jul2012
omit date 03sep2012
omit date 22nov2012
omit date 25dec2012
omit date 01jan2013
omit date 21jan2013
omit date 18feb2013
omit date 29mar2013
omit date 27may2013
omit date 04jul2013
omit date 02sep2013
omit date 28nov2013
omit date 25dec2013
```
Of course, this list is incomplete because I need the closed dates from 2005 until the present (2014). However, I have been unable to find this list. Does anyone know if this information is available?
## Answer by Eliezer P (score 4)
https://quant.stackexchange.com/a/15736
Start with http://www1.nyse.com/pdfs/closings.pdf which covers all closings through 2011 then use the following information from official exchange sources to get dates up to present day.
2012/2013: http://www1.nyse.com/press/1294398514465.html
Weather related closures happened on Monday, Oct. 29, 2012 and Tuesday, Oct. 30, 2012: http://markets.nyx.com/nyse/trader-updates/view/11507
2014/2015: http://otp.investis.com/clients/us/intercontinental_exchange_group/usn/usnews-story.aspx?cid=953&newsid=21120
2016: http://otp.investis.com/clients/us/intercontinental_exchange_group/usn/usnews-story.aspx?cid=953&newsid=22278
## Answer by emcor (score 2)
https://quant.stackexchange.com/a/14482
You can download the time series of e.g. S&P500 prices from NYSE, then their dates should well represent approximately the real NYSE trading days.Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.