Nov

24

Using DJIA monthly back to 11/1928, I find that following Novembers that declined worse than -3%, subsequent Decembers are up but not statistically significant:

One-Sample T: nxt dec

Test of mu = 0 vs not = 0

Variable    N     Mean     StDev   SE Mean        95% CI            T      P

nxt dec  15  0.01799  0.06046  0.01561  (-0.0154, 0.0514)  1.15  0.268

Furthermore, regression of Dec return vs prior November IF November was down shows no correlation between the variables:

Regression Analysis: nxt dec versus DN nov

The regression equation is

nxt dec = 0.0259 + 0.144 DN nov

Predictor     Coef  SE Coef     T      P

Constant   0.0258  0.0142  1.81  0.081

DN nov      0.1440  0.2419  0.60  0.557

S = 0.0515600   R-Sq = 1.2%   R-Sq(adj) = 0.0%

When the lean on history fail
Reach for the chalice
Thy holy grail


	

	

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  1. gabe on November 24, 2007 4:20 pm

    Vic's post "Hold the Bubbly" from Jan 06 might be of interest to you.

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