Apr

23

DJIA checked for first-ever breaks of 1000s from below. Then compared next 20-day (1 month) and 120-day (6 month) returns to all 20-day and 120-day returns (non-overlapping).

Here are the dates and subsequent returns:

Date        20d      120d    Millenium
10/19/06  0.024  0.059     12000
05/03/99 -0.038 -0.065     11000
03/29/99  0.082  0.080     10000
04/06/98  0.013 -0.111      9000
07/16/97 -0.014 -0.016      8000
02/13/97 -0.012  0.176      7000
10/14/96  0.041  0.091      6000
11/21/95  0.007  0.120      5000
02/23/95  0.021  0.159      4000
07/16/90 -0.084 -0.145      3000
01/08/87  0.100  0.208      2000
11/14/72  0.027 -0.064      1000

mean        0.014  0.041
all other   0.006   0.036
t-score     0.630   0.160

Though returns following new milleneal highs are higher than comparable periods, the difference is not significant. 


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