The clichés you’ll hear a lot this week and come Christmas time goes something like this… the slow holiday trading, a low volume week due to the holiday, or below average market participation due to the holiday. And while it has become part of the common market knowledge that volume and trading ranges are subdued during holiday periods because of traders being out of the office (off the trading floor/not logged in to the machines), we’ve always wondered if that is true – we certainly don’t pack up our offices and take this entire week off.
To see whether a ‘slow holiday week’ is more than just a saying, we looked at the true range of the S&P 500 during Thanksgiving week over the past 11 years, and compared that to the true range of all the other weeks of the year. Our results are below, and show that despite a rather non slow holiday week in 2008 during the financial crisis – this pattern indeed has held true every other year for the past 11, with the true range for the holiday week about 30% lower than a normal week on average.
Of course, as is the case with nearly all market happenings, past performance is not necessarily indicative of future results. That being said, it seems there is some truth to that old trading adage – slow holiday week.
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