Some interesting things i found on the net, i don't remember where.
Its about what happen the day preceding the holiday, it is maybe more interesting for day trader.
This is what i found :
Good Friday 60.9
Memorial Day 74.1
Independence Day 76.7
Labor Day 81.2
Thanksgiving Day 58.8
Christmas 72.4
New Year's Day 72.1
Average (Holidays) 68.1
NB : Numbers after holiday's names is the percentage of time the Dow Jones Industrial Average closed higher on the day preceding the holiday.