One of my former studies I looked at over the weekend examined how the market performed following large selloffs before U.S.-only three day weekends. These include Labor Day, Martin Luther King Day, Presidents’ Day, Memorial Day, and Fourth of July. Since 2000 there have been 12 instances where there was a greater than 1% selloff prior to the US-only 3-day weekend. Statistics from 1-5 days out are shown in the table below.

The initial reaction over the 1-4 day shortened week has been for downside follow-through. Instances are a bit low.  But with moves lower occurring in 11 of the 12 instances, this may be worth keeping in mind as we head into this shortened holiday week.

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