Nov

1

Using SP500 daily returns 1950-present, I calculated the returns for non-overlapping intervals of 1, 2, 4, 8, 16, 32, 64, 128, and 256 days. Then I ranked the returns for each interval into the 19 biggest gains and 19 biggest losses. Then I compared the absolute values of the 19 biggest gains and losses using paired t-test: which compared the single biggest gain with single biggest loss, next biggest to next biggest, etc. Here are the t-scores for ranked |biggest losses|-|biggest gains|, by interval:

DAYS  PAIRED T
1       -2.8
2       -1.8
4       -4.0
8       -3.4
16      -2.1
32       0.9
64       1.3
128      6.9
256     18.9

For non-overlapping intervals 16 days and shorter, losses are bigger than gains. However the pattern reverses as the interval gets longer, and for periods 128 days and longer, gains are bigger. Since the gains and losses are compared over the same intervals, this is a test of velocity (change/time), and supports the belief that over intervals shorter than a month drops are faster than gains.


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