Friday Before Christmas, from Victor Niederhoffer
What happens to markets from the Friday before Christmas during the next 5 trading days 7 such Fridays from Dec 19 to Dec 23 since 2003
move in S&P next 4 days -1.5 %
bonds + 0.5%
nasdaq -0.2%
crude -0.1%
gold +1.0%
euro +0.5%
dollar/yen 0.5%
One doesn't believe in the predictivity of seasonal analysis but thought it might be interesting to see if there were any glaring retrospective regularities.
Kim Zussman writes:
Here are mean daily returns for the two individual trading days before and after Xmas (X-2,X-1,X+1,X+2), using SPY (close-close) from 12/00-12/12:
Variable N Mean StDev SE Mean 95% CI T
X-2 13 0.0020 0.0068 0.0019 (-0.0021, 0.0062) 1.08
X-1 13 0.0028 0.0095 0.0026 (-0.0029, 0.0086) 1.08
X+1 13 0.0013 0.0051 0.0014 (-0.0017, 0.0045) 0.96
X+2 13 -0.0009 0.0099 0.0027 (-0.0068, 0.0051) -0.32