Nov

7

Going back to 1984, checked SP500 returns for the two day interval including presidential election day, and the following 3 day interval returns:

One-Sample T: 2D prior, 3D after

Test of mu = 0 vs not = 0

Variable N    Mean   StDev   SE Mean     95% CI             T      P
2D prior  7   0.0105  0.0145  0.0054  (-0.0029, 0.0239)   1.91  0.104
3D after  7  -0.0162  0.0372  0.0140  (-0.0507, 0.0181)  -1.16  0.292

N.S. (low N), but a trend toward reversal.  Here is the regression:

The regression equation is
3D after = - 0.0025 - 1.31 2D prior

Predictor     Coef  SE Coef      T      P
Constant   -0.0025  0.0168  -0.15  0.889
2D prior    -1.3125   0.9868  -1.33  0.241

S = 0.0350644   R-Sq = 26.1%   R-Sq(adj) = 11.4%

>>Still N.S., but negatively correlated.

Buying rumors and selling news?

Date 2D prior 3D after
11/4/2008  0.038 -0.074
11/2/2004  0.000  0.031
11/7/2000  0.004 -0.046
11/5/1996  0.015  0.023
11/3/1992  0.003 -0.006
11/8/1988 -0.004 -0.026
11/6/1984  0.018 -0.016


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