Oct

17

Black Mondays? from Kim Zussman

October 17, 2007 |

Are they worried about black Mondays in October?  If so, one might expect Friday returns (Thr close - Fri close) for Octobers to be lower than other months, as there would be selling to avoid down opens on Mondays.

Tested this using SPY 93-07:

Two-sample T for F cc vs oct Fri

          N    Mean   StDev  SE Mean
All Fri   742  0.0003  0.0107  0.00039 t=-2.3
Oct Fri   64   0.0039  0.0120  0.0015

No, they are not afraid to own Fridays in October. In fact October Fridays are significantly higher than all Fridays in the period.

Are October Mondays blacker than the rest (Fri cls - Mon cls)?

Two-sample T for F-M all vs oct F-m

          N     Mean   StDev  SE Mean
All F-M   672  0.0010  0.0108  0.00042 t= 0.8
Oct F-M   65  -0.0004  0.0124  0.0015

October Mondays are slightly lower than all Mondays, but not significantly.


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