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Politics : Ask Michael Burke
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To: bill meehan who wrote (63628)6/30/1999 10:43:00 PM
From: John Pitera  Read Replies (1) of 132070
 
the vigilantes shall be back. imo.

some thoughts on July 4th seasonality that came to me today.

Got curious as to whether July 4 had any particular up/down tendency.
The short answer is probably not, though on a 70 year sample, the
average gain on a 3-day hold bought on the close before the holiday
was 0.27% with a median of 0.42%. I'd say the median
has a pretty high statistical confidence of not being random.
However, looking at smaller, more recent samples, there's just
a small edge in favor of July 4 having an upward tendency.

Here's the percent changes by year, for the 3 day hold across July 4:

29 1.35 41 2.90 53 0.63 65 0.31 77 -0.35 89 1.43
30 -0.22 42 3.25 54 0.62 66 1.65 78 -0.05 90 0.09
31 -7.41 43 -0.07 55 1.41 67 1.09 79 2.08 91 0.43
32 -5.86 44 0.07 56 2.18 68 2.14 80 0.94 92 -1.11
33 1.54 45 0.54 57 0.60 69 -2.76 81 -0.59 93 0.87
34 2.53 46 0.14 58 -0.54 70 -1.02 82 1.00 94 1.15
35 3.20 47 0.00 59 1.37 71 1.21 83 -1.22 95 2.56
36 -1.20 48 0.26 60 0.56 72 1.01 84 -0.02 96 -2.12
37 3.19 49 1.66 61 0.42 73 0.35 85 -0.34 97 -0.68
38 -0.72 50 0.10 62 0.22 74 -2.60 86 -3.93 98 1.66
39 0.99 51 1.95 63 0.10 75 0.01 87 1.12
40 0.50 52 -0.62 64 0.48 76 -0.78 88 -0.42
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