Sunday, December 25, 2005

The Coming Holiday Week

My upcoming Trading Markets article will look at expected market action during the holiday week between Christmas and New Years. Not surprisingly, since 1990 over 80% of all days during these holiday weeks trade below their 200 day moving averages for both volume and volatility (N = 63). There is an upward bias to price change during the holiday weeks, with 39 trading days up and 24 down and an average price change of .14%. This compares favorably with the .04% average daily gain for the 1990-2004 period overall. My work, however, suggests that the bulk of these bullish days occur during high volatility markets. There is no seasonal edge during low volatility times, such as the current one.

No comments: