After the Big Up Days, from Steve Ellison
After the biggest up days… no clear pattern to next day or next week results.
. Next Next
. day 5 days
06/15/2006 -0.6% -0.9%
08/06/2007 1.0% -0.9%
08/17/2007 -0.1% 2.3%
08/29/2007 -0.3% 1.0%
09/18/2007 0.5% -0.3%
11/13/2007 -0.4% -2.5%
11/28/2007 ? ?
Average 0.05% -0.22%
StandardDev 0.61% 1.68%
N 6 6
t 0.07 -0.36
.
Further study of the 1991-2005 period showed nothing additional of interest. What may be more interesting is that yesterday was the sixth day of 2007 on which the S&P 500 futures made their biggest one-day gain in a year, the largest number in any year going back to 1991 (1997 had four such days; several years had none).