Archive for the ‘Stock Market Mechanics’ Category
A bit more data to go with my previous post on the subject… The chart below shows the 1-year standard deviation of changes in the daytime (red) versus overnight (grey) session, for the S&P 500 futures & SPY since 1983. I presented a similar chart in my last post, but here I’ve added 10+ years […]
Filed under: Stock Market Mechanics, VIX & Volatility | 2 Comments
The chart below shows the 1-year standard deviation of changes in SPY’s daytime (red) versus overnight (grey) session, since 1994. The daytime session is of course from SPY’s open to the close, and the overnight from the close to the open. Note that for nearly all of the last 19+ years, the daytime session has […]
Filed under: Stock Market Mechanics, VIX & Volatility | 4 Comments
Revisiting an old observation… Most of the stock market’s volatility comes in the daytime (open-to-close), but most of the market’s gains come overnight (close-to-open). [growth of $1, logarithmically-scaled] The graph above shows two hypothetical traders. The first (grey) is only long the SPY from each day’s open to close (daytime), and the second (red) from […]
Filed under: Stock Market Mechanics | 6 Comments
This is a follow up to my post re: Large vs Small Cap Performance by Month. In my first post I showed that large and small caps have historically outperformed during certain months (independent of the impact of volatility), particularly small caps in January and large caps in October. After tinkering with a few approaches […]
Filed under: Stock Market Mechanics, Trading Strategies | 3 Comments
This is a follow up to Mark Hulbert’s post re: the Tax Loss Selling Effect. According to Hulbert, large caps tend to outperform small caps in December and small caps to outperform in January as a result of individual investors selling their losing positions for tax purposes. This effect is more pronounced in years when the […]
Filed under: Stock Market Mechanics | 2 Comments
