Jan

3

2006 gains came essentially in the last six months of the year. The question is what happens in the first half of each year as a function of the last half of the prior year? SPY monthly closes since 1993 were used to regress the first six months against the last six months of the previous year:

Regression Analysis: First six months versus last six months

The regression equation is
1st 6mo. = 0.0318 + 0.542 last 6mo.

Predictor Coef SE Coef T P
Constant 0.0318 0.0323 0.98 0.346
last 6mo 0.5424 0.3443 1.58 0.143

S = 0.0995406 R-Sq = 18.4% R-Sq(adj) = 11.0%

The first six months tend to continue the pattern of the last six months, which is somewhat bullish for the present (though non-significant). The same test for the last three months and the first three months showed weaker results.

More to the point (and since it appears likely to start with a bang), for each January since 1993, what happens in the last 15 days as a function of the first five?

Regression Analysis: last 15 days versus first five days

The regression equation is
last 15d = 0.0129 - 0.747 1st 5d

Predictor Coef SE Coef T P
Constant 0.013 0.0114 1.13 0.281
1st 5d -0.747 0.5479 -1.36 0.200

S = 0.0357813 R-Sq = 14.4% R-Sq(adj) = 6.7%

Here there is a slight (non-significant) tendency for the last 15 days to reverse the first five.


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