Christmas is the yearly expectation of redemption and the proclamation of the consummation. Three feasts days came to be closely associated with Christmas: St Stephen, St John, and Holy Innocents. The ancient association of these martyr’s* days [and the later medieval addition in the West of the feast day of St Thomas of Canterbury] reinforces the eschatological understanding of the celebration of Christmas. The birth of Jesus is more than a commemoration of his birthday. His birth into this world prefigures the birth into the next world of his martyrs, who follow in his train. The birth of Christ is a judgment on the persecution and rejection of God and his Word, and means joy for those who remain faithful and steadfast even in the face of great persecution. These are days of judgment as well as joy…
…In the Western Church, St Stephen’s Day is the first of a succession of three festivals immediately following Christmas – St Stephen, St John, the Holy Innocents – that associate the three “heavenly birthdays” with the birthday of Christ: as he was born into this world from heaven, so they were born from this world into heaven.
from the New Book of Festivals & Commemorations, Philip H. Pfatteicher (Fortress Press, 2008)
*St John the Evangelist (the Theologian), while he did not suffer martyrdom by death, suffered martyrdom by exile to the island of Patmos during the reign of the emperor Diocletian.