Black Mondays? from Kim Zussman
Are they worried about black Mondays in October? If so, one might expect Friday returns (Thr close - Fri close) for Octobers to be lower than other months, as there would be selling to avoid down opens on Mondays.
Tested this using SPY 93-07:
Two-sample T for F cc vs oct Fri
N Mean StDev SE Mean
All Fri 742 0.0003 0.0107 0.00039 t=-2.3
Oct Fri 64 0.0039 0.0120 0.0015
No, they are not afraid to own Fridays in October. In fact October Fridays are significantly higher than all Fridays in the period.
Are October Mondays blacker than the rest (Fri cls - Mon cls)?
Two-sample T for F-M all vs oct F-m
N Mean StDev SE Mean
All F-M 672 0.0010 0.0108 0.00042 t= 0.8
Oct F-M 65 -0.0004 0.0124 0.0015
October Mondays are slightly lower than all Mondays, but not significantly.