Markets Performance after Election: Day 239

October 21, 2017
By

(This article was first published on R – Quintuitive, and kindly contributed to R-bloggers)

When I wrote the original post, I wasn’t planning on writing a follow-up. Certainly not the week after. But what a difference a week can make in a dynamic system like the US stock market.

While re-running the computations testing the latest version of RStudio, I noticed something surprising – President Trump’s rally has advanced to 2nd place!

A mere week ago, that seemed unthinkable. Something abnormal must have happened. Two things happened. First, the current stock market advanced another 2%. Nothing to brag about just another positive vote of confidence in the economy’s direction.

The more impactful reason behind this sudden switch became clear when I took a look at the President H.W. Bush’s rally. Even from the above chart, it’s clear the rally lost significant amount of steam within a day, or two max. Is this a problem with data? A bit of forensics:

election.date = "1988-11-08"

require(quantmod)
dj = getSymbols("^DJI", from="1900-01-01", auto.assign=F)
id = findInterval(as.Date(election.date), index(dj))
tail(ROC(Cl(dj[id:(id+239)]), type="discrete", na.pad=F))

And the truth reveals itself:

Date Return
1989-10-12 -0.49%
1989-10-13 -6.91%
1989-10-16 3.43%
1989-10-17 -0.70%
1989-10-18 0.19%
1989-10-19 1.50%

Low and behold, no problem with the data, just a 7% drop on October 13th 1989. A quick search reveals that this was indeed Friday the 13th mini-crash! Friday, the 13th … mini-crash … What a coincidence!

I will keep it brief and wrap up this post here. There were a few improvements and changes I did to the R code used to perform these analysis – the Gist contains all of them.

It’s all optimism in the air, judging by the market behavior at least.

The post Markets Performance after Election: Day 239 appeared first on Quintuitive.

To leave a comment for the author, please follow the link and comment on their blog: R – Quintuitive.

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