Today's article is a simple statistical study into what effect, if any, the day of the week has on the stock market. For this study we will be looking at historical data from the exchange traded fund that tracks the S&P 500 (symbol: SPY). The data used spans from January 29, 1993 to July 7, 2006.

Below you will see three different charts with the results from the study. The first is labeled "open to open" and displays the results for the data from the open of trading on the day of the week on each row to the open of trading the next trading day. The "open to close" chart shows data for the open of trading to the close of trading for each day and "close to open" is the close of trading on the day listed to the open of the next trading day.

Each chart has three groups of columns. The columns labeled "Average All" display the average change in price for all available data for that day. There was an average of 677 data points available for each day of the week, Monday through Friday. The columns labeled "Average 3STDEV" is the results for all data points that are within three standard deviations of the mean. The columns labeled "Average Outliers" are the results for all of the data points that fell outside of three standard deviations. For each data group, at least 98% of the total available data fell within three standard deviations. Gain% is simply the percentage of values that were greater than zero for the data set in question. The data cells are also highlighted either green or red. Green means that the value was above the average for all values in that column and red means that it was below the average for its group.

Overall the difference that this information can have on your trading will probably not be huge, but we are able to observe some interesting things from these statistics. Wednesday is probably the best day for entering long trades overall while Tuesday and Friday are probably the worst. The variations are small though so more information is probably needed before using this information to change any current strategies you are using.

Overnight risk (close to open group) is probably the most interesting behavior that we can learn about here. Notice how the "All" and "3STDEV" columns show gains on each day. Also notice how much higher the Gain % is for the close to open data sets than for all of the rest of the date sets. The "Outliers" is where the risk comes in. Most of the time, holding your trades over night should be fine, but once in a while, you'll have a really bad fall over night, probably due to after hours news events. Friday to Monday seems to be the best day to hold overnight, and even has a positive average for its Outlier days. This seems to go against the conventional fear of traders to hold their trades through the weekends.

As mentioned above, this is a brief article and not in-depth enough to become actionable in your trading, but hopefully this gives you an idea of some of the types of data analysis techniques that we use to answer questions about market actions.

Price Headley is the founder and chief analyst of BigTrends.com.