May

3

DJIA weekly returns (1928-p) were used to look for runs of consecutive up-weeks, such as the recent run of 8 consecutive (ending week before last). As a check on whether longer up-runs end in bigger declines, regressed the run-terminating down week return (the week ending the up-run) against the count of consecutive-ups ended:

Regression Analysis: week ret versus run up wk

The regression equation is week ret = - 0.0155 + 0.000405 run up week

Predictor       Coef       SE Coef       T       P
Constant   -0.015497   0.001188  -13.04  0.000
run up wk   0.000405   0.000319    1.27   0.204

S = 0.0131489   R-Sq = 0.3%   R-Sq(adj) = 0.1%

Conclusion: No significant correlation between run-terminating decline and length of up-run.
The attached chart compares means of run-terminating decline weeks, by length of prior up-run. As with the regression, there are no obvious differences between run-ending decline week returns as a function of run length. (If any of the decline means differed significantly from the global mean, it would be beyond the red confidence interval limit-lines. The lines diverge as run-length increases because there are fewer long runs than short ones).


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