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.


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  1. James Livingston on May 18, 2007 8:20 am

    Being an Australian and participating in this wonderful and dare I say exuberant bull market I can offer another possible reason for this phenomenon. Simply put there is wave after wave of superannuation money (Government mandated) coming into this market and when the sell off on Friday is added to the build up of funds over the weekend, come Monday there is a very large amount of capital that needs a home. There is almost a fear in the air that if the money is not invested then these funds will underperform their peers and as long only funds it is their perogative to get long especially in the greatest bull market in Australia’s history. I am a small player in this market and this explanation is purely conjecture but nevertheless this tidal wave of money is real and it is fascinating to watch it unfold. Long live the bulls downunder!

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