The volatility of daily price changes in December tends to be larger than during January-to-November. During the last 13 years, the S&P500 average December daily price change comes to .08 percent, while the average rate of the January-to-November months is only .03 percent.
There is an even larger disparity when comparing these changes individually for bull and bear markets. The December average daily change during expansions comes to .12 percent; it is only .08 during the earlier months. In bear markets, however, the reverse is true. The December mean daily change is only -.03 percent, while it is more than four times larger, some -.13 percent, throughout the earlier eleven month period when prices are declining.
The diagram plots these daily percentage changes, using a large yellow circle to designate the December days; the smaller black dots show the daily changes during January through the end of November. The vertical lines separate bull markets from bear phases.
Today’s pattern of two losing days for the DJIA and the S&P500 while the NASDAQ declined one day occurred 53 times since 1996. These occurred more often in bull markets than when prices were heading down. On the following day, prices moved higher 30 times and fell on 23 days.
DJIA -.40 percent
NASDAQ -.29 percent
S&P500 -.17 percent
