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?
