Jun

11

This last week the SP was up about 3.8%, following the prior week which was down about -3%. Using SPY, looked for consecutive calendar weeks with the first week down more than -2% ("DN wk"), and the next week up more than 2% ("UP wk"); then checked the return for the third week ("NXT wk"):

One-Sample T: DN wk, UP wk, NXT wk

Test of mu = 0 vs not = 0

Variable   N     Mean   StDev   SE Mean    95% CI              T
DN wk     37  -0.0462  0.0337  0.0055  (-0.0574, -0.0349)  -8.34
UP wk     37   0.0481  0.0260  0.0042  ( 0.0395,  0.0568)  11.26
NXT wk    37  -0.0021  0.0276  0.0045  (-0.0112,  0.0070)  -0.47

>>NXT week was down slightly, N.S.

 Bivariate regression suggested the size of DN wk was an important predictor (smaller DN wk resulting in higher NXT wk). Here are the results if -0.05 < Dn wk < -0.02 :

One-Sample T: DN wk_1, UP wk_1, NXT wk_1

Test of mu = 0 vs not = 0

Variable     N     Mean   StDev SE Mean       95% CI               T
DN wk_1   25  -0.0296  0.0082  0.0016  (-0.0330, -0.0262)  -17.95
UP wk_1   25   0.0397  0.0166  0.0033  ( 0.0328,  0.0466)   11.94
NXT wk_1  25   0.0005  0.0251  0.0050  (-0.0097,  0.0109)    0.12

>>Now NXT weeks were about flat, N.S.


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