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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?

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This was the first hit on google: www1.nyse.com/pdfs/closings.pdf –  user508 Aug 23 at 14:56
    
@user508 You mention that I didn't search and that's why you downvoted me. I did search and I know of that document. I also know that it only includes data up to the end of 2011, and therefore it does not answer the question. –  Tom Aug 23 at 18:17
1  
This data is all over the place. Using the closings document to get to 2011. Then use Google and search for closings for 2012, 2013, and 2014. –  Louis Marascio Aug 23 at 19:02

2 Answers 2

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.

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This is probably the most realistic option, as I cannot find any official sources. –  Tom Aug 23 at 18:18
    
From which source would you download these timeseries of the S&P 500? –  Tom Aug 23 at 18:34
    

Start with www1.nyse.com/pdfs/closings.pdf then use the following...

2012/2013: http://www1.nyse.com/press/1294398514465.html

Weather related closures happened on Monday, Oct. 29, 2012 and Tuesday, Oct. 30, 2012. (markets.nyx.com/nyse/trader-updates/view/11507)

2014: http://www.nyse.com/markets/hours-calendars#holidays

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