Down First Half, from Kim Zussman
DJIA is down about 5% this year, Jan-June. Going back to 1928, for 1st half declines between -2% and -10%, here are the next month (July), 3-month, and 6-month return means:
Jan-Jun nxt 1mo nxt 3mo nxt 6mo
avg -0.065 0.000 -0.040 -0.026
stdev 0.022 0.053 0.126 0.191
n 20 20 20 20
t -0.02 -1.42 -0.61
Nothing much; 3mo somewhat bearish.
Same check on 1st half declines worse than -10% tested bullish for Julys, and N. S. for 3 and 6 mo.
The 3mo following down 1Q tests significantly less than all (non-overlapping) 3 mo periods, but 1-mo and 6-mo are not different. Which is a different question than is mkt up?
July all mo
Mean 0.000 0.005
Variance 0.003 0.003
Observations 20.000 974.000
Hypothesized Mean Difference 0.000
df 20.000
t Stat -0.436
P(T<=t) one-tail 0.334
3 mo all 3mo
Mean -0.040 0.016
Variance 0.016 0.011
Observations 20.000 325.000
Hypothesized Mean Difference 0.000
df 21.000
t Stat -1.949
P(T<=t) one-tail 0.032
6 mo all 6mo
Mean -0.026 0.032
Variance 0.036 0.020
Observations 20.000 163.000
Hypothesized Mean Difference 0.000
df 22.000
t Stat -1.306
P(T<=t) one-tail 0.103