Feb

1

SPY (2000-present) was checked for instances when the last day of the month was up more than 1%, while the 20 day return to the end of the month was down (including the up last day). Then, what was the return for the next day (first day of new month), and the next 5 days (first 5 days of the new month).

Here are the results:

One-Sample T: last DOM+, prior 20 day ret-, 1OM, 5OM

Test of mu = 0 vs not = 0

Variable              N       Mean     StDev   SE Mean             95% CI
last DOM+         14   0.016441  0.008813  0.002355  ( 0.011353,  0.021530)
prior 20 day ret   14  -0.043020  0.032422  0.008665  (-0.061740, -0.024300)
1OM                  14  -0.007521  0.025683  0.006864  (-0.022350,  0.007308)
5OM                  14  -0.019825  0.041358  0.011053  (-0.043704,  0.004055)

Variable              T      P
last DOM+          6.98  0.000
prior 20 day ret   -4.96  0.000
1OM                  -1.10  0.293
5OM                   -1.79  0.096

There were 14 down months with big up last days. The mean last day of month return was +1.6%, and the mean down month return was -4.3%. The next day and 5 day periods were negative, with the 5 day about -2% (both NS)


Comments

Name

Email

Website

Speak your mind

Archives

Resources & Links

Search