Like so many of our retailing habits, early shopping dates back to the late Victorians. Along with inventing cash registers, mail-order catalogues, and escalator-filled flagship stores, the Victorians also discovered the value of starting the Yuletide shopping season before Thanksgiving.
Perhaps not in the long view of history but things have changed in recent history, at least in my part of the world. For instance, Black Friday has taken more hold this year in Canada. I only learned about black Friday a few years ago an now we have more and more stores (usually big box stores) having black Friday (sometimes weeklong) sales.
Though I suppose since there are no big holidays in between Halloween and Christmas we tend to start thinking or Christmas earlier than our neighbors to the south.