Dec

23

 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
 


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