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Pastimes : All Clowns Must Be Destroyed
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To: BGR who wrote (15465)3/8/2000 10:10:00 AM
From: Oblomov  Read Replies (1) of 42523
 
BGR,

I tried to model the change in RPs as a predictor of changes in the S&P 500, using data from 1970-2000. The model showed no significant relationship (R-square = 0.008, p-value = 0.44). If one insisted on using the model anyway, the RPs would have a negative coefficient, implying that added liquidity is negatively correlated with increases in the S&P 500.

Of course, there could be a specification problem in the model. The best predictor for the S&P 500 , of course, is the lagged series itself. It is highly autocorrelated, not surprisingly.
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