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Stocks - The Smell of Fear Redux 
(1)
DJIA.AMonday, April 14, 2008
By Gibbons Burke
Stocks saw a massive sell-off on Friday - the Dow (DJIA) and S&P 500 (SPX) fell 2.0%, and the Nasdaq Composite (COMP) dropped -2.6% - all three are 'big' one-day moves relative to recent volatility. Meanwhile capital withdrawn from stocks moved into Government bonds. The 30-year Treasury Bond futures (US) rallied 20 ticks for a 0.5% gain.
Q: How have the equity indexes performed after the Nasdaq Composite index (NASD) and the Dow (DJIA) both lose more than 1.75% on either Friday or Monday on a day when there is a flight to quality into Bonds?
A:
- S&P 500 - According to the 25 previous occurrences of this event, EventEdge indicates that SPX has shown a somewhat bullish edge that peaks 17 trading days after the event. Thus, the projected date for the peak of the bullish edge relative to the current event date (Friday, 11 April 2008) is Tuesday, 6 May 2008. SPX rallies in 80% of the cases (20 of 25) by an average of 5.3% relative to the close on the event date. The average of the 5 declines is -3.4%. The overall return of the 25 cases is 3.6%, which, based on the close of SPX on the event date (1332.83), provides a target price of 1380.81.
- Nasdaq Composite - COMP has shown a somewhat bullish edge that peaks 23 trading days after the event. Thus, the projected date for the peak of the bullish edge relative to the current event date (Friday, 11 April 2008) is Wednesday, 14 May 2008. COMP rallies in 80% of the cases (20 of 25) by an average of 8.4% relative to the close on the event date. The average of the 5 declines is -5.4%. The overall return of the 25 cases is 5.6%, which, based on the close of COMP on the event date (2290.24), provides a target price of 2418.49.
- Dow Jones Industrial Average - DJIA.t has shown a weak bullish edge that peaks 16 trading days after the event. Thus, the projected date for the peak of the bullish edge relative to the current event date (Friday, 11 April 2008) is Monday, 5 May 2008. DJIA.t rallies in 68% of the cases (17 of 25) by an average of 5.9% relative to the close on the event date. The average of the 8 declines is -2.7%. The overall return of the 25 cases is 3.2%, which, based on the close of DJIA.t on the event date (12,325.42), provides a target price of 12,719.83.
Gibbons Burke2 is editor of MarketHistory.com.
Related Ideas:
- Stocks - The Smell of Fear3 - April 18, 2005
 |
Let variable values:
@ = SPX
theEvent = IF
NASD is down more than 1.75 %
AND
DJIA_ACT is down more than 1.75 %
AND
US is up more than 0.5
AND
{
Date is Friday
OR
Date is Monday
}
THEN 1
ENDIF
Date Day t+5 t+10 t+16 t+17 t+23
03/17/1980 Mon -2.9 -0.2 0.8 1.8 -1.7
04/07/1980 Mon 2.6 -0.4 5.7 6.1 5.9
10/26/1987 Mon 12.3 6.8 6.8 7.9 5.6
11/30/1987 Mon -0.7 5.2 8.5 9.9 11.1
10/27/1997 Mon 7.1 5.0 7.0 7.7 8.9
01/09/1998 Fri 3.6 3.2 8.4 8.5 10.4
08/31/1998 Mon 6.9 8.4 11.3 8.9 4.7
11/30/1998 Mon 2.1 -1.9 3.4 5.6 5.5
10/15/1999 Fri 4.3 9.3 10.4 9.5 13.1
01/24/2000 Mon -0.5 1.6 0.0 -1.0 -4.9
02/18/2000 Fri 0.1 3.4 1.0 3.4 13.5
02/04/2002 Mon 1.6 -1.0 1.4 1.1 6.4
07/19/2002 Fri 0.6 1.9 6.6 4.3 12.0
08/02/2002 Fri 5.1 7.5 9.7 8.2 1.7
08/23/2002 Fri -2.6 -4.0 -7.2 -7.6 -9.1
09/27/2002 Fri -3.2 1.0 8.7 7.6 7.7
12/09/2002 Mon 2.1 0.6 1.9 1.9 3.8
01/24/2003 Fri -0.7 -3.7 -1.2 -1.9 -2.8
03/24/2003 Mon -1.9 1.8 3.1 1.8 4.0
04/15/2005 Fri 0.8 1.2 3.2 2.1 3.8
09/07/2007 Fri 2.1 5.0 6.4 6.4 7.5
10/19/2007 Fri 2.3 0.6 -4.1 -1.3 -5.6
11/26/2007 Mon 4.6 7.7 3.4 3.3 5.1
01/11/2008 Fri -5.4 -3.4 -4.6 -5.3 -3.7
02/29/2008 Fri -2.8 -3.2 1.7 0.8 2.9
04/11/2008 Fri NaN NaN NaN NaN NaN
Avg 1.5 2.1 3.7 3.6 4.2
AvgPos 3.7 4.1 5.2 5.3 7.0
AvgNeg -2.3 -2.2 -4.3 -3.4 -4.6
PctPos 64.0 68.0 84.0 80.0 76.0
PctNeg 36.0 32.0 16.0 20.0 24.0
Maximum 12.3 9.3 11.3 9.9 13.5
Minimum -5.4 -4.0 -7.2 -7.6 -9.1
StdDev 3.9 4.0 4.8 4.7 6.1
ZStat 0.4 0.5 0.8 0.8 0.7
Variance 15.4 15.6 23.5 21.8 36.7
26 Occurrences
Let variable values:
@ = NASD
theEvent = IF
NASD is down more than 1.75 %
AND
DJIA_ACT is down more than 1.75 %
AND
US is up more than 0.5
AND
{
Date is Friday
OR
Date is Monday
}
THEN 1
ENDIF
Date Day t+5 t+10 t+16 t+17 t+23
03/17/1980 Mon -3.6 -6.2 -2.6 -1.7 -3.6
04/07/1980 Mon 2.5 -0.2 4.5 4.9 7.4
10/26/1987 Mon 9.8 7.2 6.0 6.5 5.9
11/30/1987 Mon -3.4 1.4 7.3 8.6 10.9
10/27/1997 Mon 6.2 3.6 4.3 4.3 4.3
01/09/1998 Fri 4.0 3.9 10.9 11.8 14.0
08/31/1998 Mon 10.8 11.9 17.4 14.7 7.7
11/30/1998 Mon 4.7 0.9 8.8 11.4 13.3
10/15/1999 Fri 3.1 8.6 15.1 14.4 19.7
01/24/2000 Mon -3.8 5.5 7.9 8.1 12.1
02/18/2000 Fri 3.8 11.2 6.7 3.9 12.0
02/04/2002 Mon -0.5 -5.7 -5.6 -6.7 4.0
07/19/2002 Fri -4.3 -5.4 -0.9 -3.8 6.8
08/02/2002 Fri 4.7 9.1 11.5 8.0 3.6
08/23/2002 Fri -4.8 -6.2 -7.6 -8.7 -11.5
09/27/2002 Fri -4.9 0.9 9.2 7.8 10.6
12/09/2002 Mon 2.4 1.1 1.3 1.5 5.8
01/24/2003 Fri -1.6 -4.4 0.3 -0.6 -1.4
03/24/2003 Mon -2.1 1.4 1.5 1.8 4.7
04/15/2005 Fri 1.3 0.7 3.7 2.9 6.4
09/07/2007 Fri 1.4 4.1 6.8 7.1 9.6
10/19/2007 Fri 2.9 3.1 -5.2 -1.9 -6.0
11/26/2007 Mon 3.8 7.0 2.2 2.4 5.3
01/11/2008 Fri -4.1 -3.7 -5.3 -6.6 -4.4
02/29/2008 Fri -2.6 -2.6 3.1 2.3 4.0
04/11/2008 Fri NaN NaN NaN NaN NaN
Avg 1.0 1.9 4.0 3.7 5.6
AvgPos 4.4 4.8 6.8 6.8 8.4
AvgNeg -3.2 -4.3 -4.5 -4.3 -5.4
PctPos 56.0 68.0 76.0 72.0 80.0
PctNeg 44.0 32.0 24.0 28.0 20.0
Maximum 10.8 11.9 17.4 14.7 19.7
Minimum -4.9 -6.2 -7.6 -8.7 -11.5
StdDev 4.5 5.4 6.5 6.4 7.0
ZStat 0.2 0.3 0.6 0.6 0.8
Variance 20.1 29.4 41.6 40.8 48.4
26 Occurrences
Let variable values:
@ = DJIA
theEvent = IF
NASD is down more than 1.75 %
AND
DJIA_ACT is down more than 1.75 %
AND
US is up more than 0.5
AND
{
Date is Friday
OR
Date is Monday
}
THEN 1
ENDIF
Date Day t+5 t+10 t+16 t+17 t+23
03/17/1980 Mon -2.9 -0.4 -0.3 0.4 -3.2
04/07/1980 Mon 2.2 -1.2 5.6 6.3 6.1
10/26/1987 Mon 12.3 5.9 7.2 8.1 6.5
11/30/1987 Mon -1.2 5.4 7.9 9.4 9.9
10/27/1997 Mon 7.2 5.5 6.8 7.9 9.2
01/09/1998 Fri 2.3 1.6 7.0 7.7 9.7
08/31/1998 Mon 6.4 6.4 8.2 6.1 3.3
11/30/1998 Mon -0.5 -4.6 -0.8 0.9 0.7
10/15/1999 Fri 4.5 7.1 7.0 6.0 8.6
01/24/2000 Mon -0.6 -0.9 -2.6 -4.1 -8.3
02/18/2000 Fri -3.5 1.4 -2.7 -4.0 6.3
02/04/2002 Mon 2.0 0.6 4.5 4.3 9.1
07/19/2002 Fri 3.1 3.7 8.4 5.8 11.7
08/02/2002 Fri 5.2 5.6 7.3 6.2 -0.4
08/23/2002 Fri -2.4 -4.0 -7.5 -7.9 -9.9
09/27/2002 Fri -2.2 1.9 10.9 9.7 9.4
12/09/2002 Mon 1.8 0.2 1.6 1.5 3.7
01/24/2003 Fri -0.9 -3.3 -1.1 -1.6 -3.0
03/24/2003 Mon -2.7 1.0 2.3 0.5 1.1
04/15/2005 Fri 0.7 1.0 2.9 1.9 3.7
09/07/2007 Fri 2.5 5.4 7.4 7.1 7.4
10/19/2007 Fri 2.1 0.5 -4.0 -1.6 -5.3
11/26/2007 Mon 4.5 7.7 3.8 3.6 4.9
01/11/2008 Fri -4.0 -1.8 -2.7 -3.2 -1.8
02/29/2008 Fri -3.0 -2.6 2.2 1.3 2.9
04/11/2008 Fri NaN NaN NaN NaN NaN
Avg 1.3 1.7 3.2 2.9 3.3
AvgPos 4.0 3.6 5.9 5.0 6.4
AvgNeg -2.2 -2.3 -2.7 -3.7 -4.6
PctPos 56.0 68.0 68.0 76.0 72.0
PctNeg 44.0 32.0 32.0 24.0 28.0
Maximum 12.3 7.7 10.9 9.7 11.7
Minimum -4.0 -4.6 -7.5 -7.9 -9.9
StdDev 3.9 3.6 4.8 4.8 6.0
ZStat 0.3 0.5 0.7 0.6 0.6
Variance 15.5 13.3 23.0 22.7 35.6
26 Occurrences |
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