Oct
17
Big Reversals, from Kim Zussman
October 17, 2011 |
In SP500, the last two calendar weeks rose about 8.2% and the prior two weeks dropped by almost 7%. Going back to 1950, identified 14 instances in which two consecutive up-weeks gained at least 5% (for two weeks), and the prior two weeks were both down and lost at least -5% (for two weeks).
For these 14 big reversals, here are the following two week returns:
One-Sample T: dip 2W
Test of mu = 0 vs not = 0
Variable N Mean StDev SE Mean 95% CI T P
dip 2W 14 0.0183 0.040 0.0106 (-0.0046, 0.0412) 1.73 0.108
10/14 up, but NS vs zero due to high variance. One notes the prior instance marked a long term bottom March 2009:
Date dip 2W
03/16/09 0.096
01/28/08 -0.033
10/14/02 0.019
10/01/01 0.002
10/19/98 0.066
12/14/87 -0.008
08/16/82 0.085
10/05/81 -0.023
12/22/80 -0.023
10/14/74 0.022
07/13/70 0.005
10/17/66 0.034
12/02/63 0.004
07/02/62 0.011
Comments
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