Pre and Post Presidential Election, from Kim Zussman
Going back to 1984, checked SP500 returns for the two day interval including presidential election day, and the following 3 day interval returns:
One-Sample T: 2D prior, 3D after
Test of mu = 0 vs not = 0
Variable N Mean StDev SE Mean 95% CI T P
2D prior 7 0.0105 0.0145 0.0054 (-0.0029, 0.0239) 1.91 0.104
3D after 7 -0.0162 0.0372 0.0140 (-0.0507, 0.0181) -1.16 0.292
N.S. (low N), but a trend toward reversal. Here is the regression:
The regression equation is
3D after = - 0.0025 - 1.31 2D prior
Predictor Coef SE Coef T P
Constant -0.0025 0.0168 -0.15 0.889
2D prior -1.3125 0.9868 -1.33 0.241
S = 0.0350644 R-Sq = 26.1% R-Sq(adj) = 11.4%
Still N.S., but negatively correlated.
Buying rumors and selling news?
Date 2D prior 3D after
11/4/2008 0.038 -0.074
11/2/2004 0.000 0.031
11/7/2000 0.004 -0.046
11/5/1996 0.015 0.023
11/3/1992 0.003 -0.006
11/8/1988 -0.004 -0.026
11/6/1984 0.018 -0.016