Nigel Adkins’ side emerged from the festive period with draws from their visits to Fulham and Stoke, as well as Tuesday night’s encounter with Arsenal, at St Mary’s.
They arguably deserved more than their return of three points from that stretch, but, having been underdogs in each of those fixtures, it still represents an encouraging run of form.
Davis, a summer signing from Rangers, said that the undefeated streak over Christmas and New Year has boosted the confidence among the players.
They will hope to carry that feeling into their next Premier League match, an enormously important trip to relegation rivals Aston Villa, one of Davis’ former clubs, a week on Saturday.
First, though, they have the distraction of an FA Cup third round tie against Chelsea at home this weekend.
The Blues, under interim manager Rafa Benitez, pictured below, have won their last four games and notably put eight past Villa at Stamford Bridge two days before Christmas.
Davis insists Saints cannot let the cup holders derail their progress ahead of the trip to Villa Park.
“I think it is important we try and keep confidence going in the team and keep the positive results coming,” he said.
“It is another opportunity to go and test yourself against some of the best players in the world.
“Chelsea are in a good run of form at the moment and it is the FA Cup, so it should be a game that everyone is looking forward to.
“We obviously missed playing Chelsea in the league just before Christmas because they were away in Japan.
“It is another good test for us and we want to try and keep confidence going.”
Saints made their fifth goalkeeping change of the Premier League campaign on Tuesday, as Kelvin Davis was dropped for the second time this season, on this occasion being replaced by Artur Boruc for the visit of Arsenal.
The Polish stopper escaped from an uncertain spell in the opening minutes without disaster, and will hope to retain his place against Chelsea.
Midfielder Davis, who says Boruc may need some time to settle, believes the competition for the keeper’s jersey, with Paulo Gazzaniga also battling for it, is a good thing.
“I think we have got three good goalkeepers and it is always hard to come into the side after a little bit,” said the 28-year-old, who celebrated his most recent birthday on New Year’s Day.
“It’ll take him a couple of games to get up to speed and, as I say, we’ve got three good goalkeepers here all competing for a starting place and competition is a good thing.”
Davis added: “Usually you get a settled number one, but it has been the case this season that the manager has decided to change it about.
“Every player in the squad is capable of playing and everyone wants to get their chance and try and take it.
“That goes for every position throughout the team, so they want the same thing.”