May

18

 I note a positive bias for Australian Equity Futures on recent Mondays after falling Fridays.

The average Monday return, for S&P ASX 200 futures, after a negative Friday is 35 basis points versus 5 basis points for all other nonconditional days. The win rate of over 75% is impressive when compared to 53% for all other data. The t stat of 2.2 is suggestive of this phenomena occurring by chance in the order of 1 in 25.

Intuitively, I suspect that these recent phenomena may be the result of market players either unintentionally or subconsciously reducing risk before the weekend. Then come Monday morning, risk is increased & equity prices rise. The Monday open to close data provide some slight evidence that my intuition may have merit. The Monday closing price has been higher than the Monday opening price 70% of the time since September 2005.


Comments

Name

Email

Website

Speak your mind

Archives

Resources & Links

Search