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Hello Dan and Steven,
First-- Thanks to Steven and Paul Desmond at Lowry's. This is the
kind of research many letter writers would keep proprietary.
Second--The divergences in the NASD and NYSE breadth data are a problem
I've been wrestling with for about a year. FWIW, I don't believe
that day traders have a big effect on volume, especially 90% moves on the
NAZ (volume, gains/losses or issues traded). Major NAZ stocks--tech
and biotech, are important institutional holdings and represent most of
the NAZ trading in volume and percentage points. Additionally, the
big names are widely held by individual investors whose behavior
may be expected to mimic the funds (but hardly
instantaneously). Finally, most of the NASDAQ listings are,
historically (i.e., prior 1994), companies that want to be listed on the
NYSE when they grow up; their price action probably has little impact on
big move days.
A while back Mr. Buch posted some notes about tracking institutional
activity. It might be worthwhile to apply this approach to high
volume and high percentage days (volume and / or price change) on both
exchanges and examine subsequent market action. This may or
may not leave unresolved the issue of measuring overall market breadth
and relationships between the two indecies, but it would be a
start.
Having bit off more than I can chew,
Charles Marchand
At 03:56 AM 1/8/01 +0000, Dan Harels wrote:
Care to speculate on why there is a
difference between NYSE & NASDAQ? More
day traders on the NASDAQ?
Thanks for investigating my earlier question, Steve.
Dan
>From: "Steven W. Poser \(psn\)"
<sposer@xxxxxxx>
>Reply-To: realtraders@xxxxxxxxxxx
>To: <realtraders@xxxxxxxxxxx>
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