Part of the reason why August has produced large moves in the markets is a drop-off in trading volume, which can create volatility.

According to data provided by the New York Stock Exchange, since 2004 average daily trading volume in August stood at 2.38 billion shares, down 2% from the average in all other months. While that may not sound like much, it represents a reduction of about 48.5 million shares a day.

"Thin trading volume and a lack of interested participants can easily add up to unexpected large moves in the financial markets when headlines hit the tape," said Wren, who pointed out that less experienced traders are often managing trading desks during August.

Geopolitics, Hurricanes Dominate August

Investors who skipped town back in August of 1998 would have missed the eruption of the Russian financial crisis on August 17. The ensuing turmoil led to Russia defaulting on its debt, sent the S&P 500 careening nearly 15% lower and helped speed the implosion of hedge fund Long-Term Capital Management, where Rickards served as general counsel.