Jun

13

It has been 342 trading days since Mr. Ben began chairing the Fed. Has his kingdom been different from his immediate predecessor? SPY daily returns compared Bernanke and Greenspan:

Two-sample T for Ben returns vs. Greenspan:

               N     Mean       StDev     SE Mean
Ben ret  342   0.00054  0.0066   0.00036   T=0.1
Grn ret   342  0.00049   0.0065   0.00035

 no difference

What about volatility?  Here the same data are used to compare variance:

Test for Equal Variances: Ben ret, Grn ret

95% Bonferroni confidence intervals for standard deviations:

              N      Lower   StDev      Upper
Ben ret  342  0.0061  0.0066    0.0072
Grn ret  342  0.0060   0.0065    0.0071

F-Test (normal distribution)
Test statistic = 1.03, p-value = 0.760

no difference

The Fed chairs have not exerted differing effects on mean or variance of stock returns, which does not exclude certain efforts for Alan to Pimpco his ride. 


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