[AgeKay]

I would like to know if anybody knows about a good source (e.g. study based on exchange data) that tells you the current average holding period in the U.S. stock indexes and U.S. Treasuries.

I've found a study for the European Futures markets (Dow Jones Euro Stoxx, DAX, Bund, Boble, Schatz) for the years 1999-2002 which I found very interesting. It's called "How Short-termed is the Trading Behavior in German Futures Markets?" by Gregor Dorfleitner and it shows that the average holding period the stock index futures decreased by a factor of about 3 in those 3 years while the debt futures have a generally a very short holding period.

Here is a table to give you an idea of what it shows:
FESX: from ~21 days to ~7 days
FDAX: from ~15 days to ~5 days
FGBL: from ~2.25 days to ~2 days
FGBM: from ~3.5 days to ~3 days
FGBS: from ~3.75 to ~3 days

This suggests that there are many day traders in these markets. I'd like to see a more current version of this study, but I am especially interested in the U.S. markets.

I think this information could be useful to give you an idea on how much data to look back. Do you think it make sense to look at price and volume that is several months old when the average holding period is shorter than a week?

[smwinc]

Do you have the link for this study? Sounds interesting.

Originally Posted by AgeKay »

I've found a study for the European Futures markets (Dow Jones Euro Stoxx, DAX, Bund, Boble, Schatz) for the years 1999-2002 which I found very interesting. It's called "How Short-termed is the Trading Behavior in German Futures Markets?" by Gregor Dorfleitner

Here you go...

http://www.cofar.uni-mainz.de/dgf2003/paper/paper64.pdf

-fs

[AgeKay]

FYI, I managed to get an update of this study from another guy (Bernhard Zwergel, Chair of Statistics, University of Augsburg in Germany). The results are preliminary and not public yet, but to give a general idea: The stock index futures have become even more short termed (2-3 days for FESX) and the interest rates future have become less short termed (FGBL went from 1.5 days in 2003 to 2 days today and FGBS is even about 5 days today)