Jul

1

DJIA is down about 5% this year, Jan-June. Going back to 1928, for 1st half declines between -2% and -10%, here are the next month (July), 3-month, and 6-month return means:

                Jan-Jun   nxt 1mo   nxt 3mo   nxt 6mo
avg          -0.065     0.000     -0.040        -0.026
stdev         0.022      0.053     0.126         0.191
n                20          20          20            20
t                             -0.02      -1.42        -0.61

>>Nothing much; 3mo somewhat bearish.

Same check on 1st half declines worse than -10% tested bullish for Julys, and N. S. for 3 and 6 mo. 

The 3mo following down 1Q tests significantly less than all (non-overlapping) 3 mo periods, but 1-mo and 6-mo are not different. Which is a different question than is mkt up?

                         July           all mo
Mean                  0.000      0.005
Variance              0.003      0.003
Observations      20.000  974.000

Hypothesized Mean Difference    0.000
df      20.000
t Stat  -0.436
P(T<=t) one-tail     0.334

                     3 mo   all 3mo
Mean            -0.040  0.016
Variance        0.016   0.011
Observations    20.000  325.000
Hypothesized Mean Difference    0.000
df      21.000
t Stat  -1.949
P(T<=t) one-tail   0.032

                      6 mo        all 6mo
Mean             -0.026  0.032
Variance         0.036  0.020
Observations    20.000  163.000
Hypothesized Mean Difference    0.000
df      22.000
t Stat  -1.306
P(T<=t) one-tail        0.103


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