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本帖最后由 银河金星 于 2009-4-9 03:39 编辑
Recently we ran an article ( I put that article in my blog a while ago; so great time for day trade in 2009) that showed that 2009 was on pace to be the most volatile year since the 1930s in terms of day-to-day % moves in the Dow Jones Industrial Average (DJIA). There's always been chatter among traders and talking heads about "volatile Fridays", "weekend risk",etc. Recently this kind of talk has accelerated, and it seems like we have seen many huge moves on Fridays, Mondays, etc. We decided to run some data on the S&P 500 Index (SPX) and see what the actual results show.
Bob Geldof sang in the 1980s, "I Don't Like Mondays" ... but how has the market felt about Mondays in 2009?
We examined at S&P 500 Index Open & Close data for every Thursday, Friday & Monday in 2009 (for market holidays we used the previous or next trading day). This is only about 13 points of data on each day, but some interesting results showing up thus far this year.
Basically, some of the key points that jump out from the data are: Mondays have been bullish on average -- showing a strong average Open to Close net move of +1.26% this year.
Big Monday moves -- The most volatile Mondays on an Open/Close basis this year have had much bigger moves than Thursdays & Fridays.
Buy the weekend -- Buying Friday's Open SPX and selling on Monday's Close has shown an average gain of 1.44% this year.
The market will move -- As has been much discussed, the market has been extremely volatile this year. Fully 92% of the time, if you bought Thursday's Open and sold on Monday's Close, the S&P would show a 2% or more net move in that time frame.
Certainly there is room for further analysis here, in areas such asOpen/High/Low/Close (OHLC), the other days of the week, etc. But somequick number-crunching on 2009 thus far shows some interesting results. |
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发表于 2009-4-9 02:35 AM
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