ONLINE SPORTSBOOKS

Go Back   MajorWager Forums > MW - Online Sportsbooks > Stock Talk
Register FAQ Members List Calendar Search Today's Posts Mark Forums Read

Stock Talk Stock tips, opinions and analysis

Reply
 
LinkBack Thread Tools
  #1 (permalink)  
Old 08-31-2004, 02:10 PM
The Actuary The Actuary is offline
Five Star General
 
Join Date: Apr 2001
Posts: 20,122
Default Markets are counter trenders

The US stock market has a distinct tendency to behave in a "countertrend" manner. If one period is up, the following period is likely to be down. Is this characteristic common to worldwide stock markets as well?

I ran some tests to find out. I tested 10 major stock market indices, using weekly and monthly periods. Correlation tests were based on one period vs. the subsequent period. Weekly tests used 52 weeks, monthly tests used 24 months. All data was inclusive of the last 20 years.

Q: What is the average correlation for weekly and monthly returns for a variety of worldwide stock market indices?

A:

World Indices (r in %)
Index Weekly Monthly
..........................
SPX -11.2 -11.9
CAC40 -3.3 -1.7
DAX -3.1 -3.3
FTSE -3.2 -4.9
HANGSENG +4.0 -2.4
NIKKEI -5.0 -4.5
SWISS -2.8 +0.9
SYDNEY +5.9 -8.9
TOPIX -5.6 +2.2
TORONTO -3.1 -7.9

Some observations:

Clearly, the S&P 500 Index (SPX) shows negative correlation.

I ran the same test on the 30 individual stocks in the Dow Jones Industrial Average (DJIA), just to see what happened, and get much the same results, with understandable variation among individuals.
The same situation exists in most of the major world stock indices.
Whether weekly or monthly, there are only scattered incidences of positive correlation. Thus it seems fair to conclude that stock market indices exhibit countertrend behavior.

__________________
In 1998 the Department of Justice brought charges under the Wire Act against 22 American citizens involved in managing foreign-based sites. "You canít hide online," Janet Reno, the attorney-general, warned Internet betting operators, "and you canít hide offshore."
Reply With Quote
  #2 (permalink)  
Old 09-01-2004, 06:32 AM
bazanster2 bazanster2 is offline
Two Star General
 
Join Date: Jul 2001
Posts: 7,909
Default RE: Markets are counter trenders

TA,
It must have taken some time to compile the stats.
Appreciate your sharing the information with us at Stock Talk.
Need further study before commenting on the numbers.
Good to see you again at Stock Talk.
A lot of interesting developments in the Markets lately.

gl,

baz
[img]i/expressions/face-icon-small-smile.gif[/img]
Reply With Quote
  #3 (permalink)  
Old 09-01-2004, 01:45 PM
The Actuary The Actuary is offline
Five Star General
 
Join Date: Apr 2001
Posts: 20,122
Default RE:Markets are counter trenders

Thx Baz,

I switched companies abt 8 months ago and it is a much better atmosphere here,

much more conservative and consequently much less stressful-

nice to see you still around these parts-my responsibilites include a lot of statistical inference like the above(although the above is not nearly all my work, I pitched in a little with a guy I work with)-so will try and share when I come across anything fascinating.

FWIW too, I forget whether I posted in the daily dow thread, but I did go back to 1930 and come up with it being up any day at random at 51.5%

TA
__________________
In 1998 the Department of Justice brought charges under the Wire Act against 22 American citizens involved in managing foreign-based sites. "You canít hide online," Janet Reno, the attorney-general, warned Internet betting operators, "and you canít hide offshore."
Reply With Quote
Reply


Thread Tools

Posting Rules
You may not post new threads
You may not post replies
You may not post attachments
You may not edit your posts

vB code is On
Smilies are On
[IMG] code is On
HTML code is Off
Trackbacks are On
Pingbacks are On
Refbacks are On



All times are GMT -4. The time now is 05:41 PM.

Please be advised that if you are wagering over the internet, this is illegal in many jurisdictions. A wagering site may be operating legally at their location but it may still be illegal for you to wager from your location. We suggest you check on the legal situation from any jurisdiction in which you may wager.
 

Search Engine Optimization by vBSEO 3.0.0 RC6