Stock Market Performance Around September 11th Since 2002

September 11th, 2001 was a fateful, horrific day in US (and global) history.  As always, on this day we remember the events and the toll taken.

How has the stock market reacted in and around the anniversary of Sept 11 over the past 10+ years?

We looked at the S&P 500 Index (SPX) on the day preceding, the day of, one day after and 5 trading days after — using SPX closing data since 2002.  If Sept 11 fell on a weekend, we used the next trading day.

This was done to see what kind of jitters or directional bias, if any, the market had around these dates, and if volatility (from news events or just internal) seemed to increase.

Here are the summarized results:

SPX Performance Table

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3 things jump out from the data above, which is a sample size of 11 years:

*The day of Sept 11th, the market has ended higher 8/11 times (73%) compared to the previous close, however the size of the moves have tended to be fairly small (only 3 moves over 1% plus/minus).

*The day following Sept 11, the market has again ended higher 8/11 times (73%) compared to the Sept 11 close.  Again here the size of the net moves hasn’t been large in general (only 2 moves greater than +/- 1%).

*In the 5 trading days following Sept 11, the market has shown  a propensity for a more sizeable move.  The net gain/loss has been over 1.5% 9/11 (82%) times in that time, with 7 (64%) of the occurrences being bullish.

So based on the data since 2002, there has tended to be a bullish bias around market performance on Sept 11 itself, the trading day following and the 5 trading days (or roughly a week) following.  Also a stronger tendency for net market trend movement volatility over the 5 trading days.   Moby Waller

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