Someone asked me to run the analysis for intra-day changes rather than day-over-day. So here it is. This is a follow up to the recent post titled: The Uptick Rule Needs To Be Seriously Reconsidered
Occurrences of Larger Than One Percent Intra-Day Swings (Absolute Value) in the S&P 500 Since the Repeal of the Uptick Rule on July 6, 2007
Sources:
The Uptick Rule Needs To Be Seriously Reconsidered
Greenewable, Greenewable’s Weblog, December 3, 2008
http://greenewable.wordpress.com/2008/12/03/the-uptick-rule-needs-to-seriously-be-reconsidered/
Chart Data
Yahoo Finance
http://finance.yahoo.com
Tags: absolute value, asset price volatility, bailout, chart, credit crisis, data, deleveraging, down days, efficient market theory, equilibrium, fear, Federal Reserve, July 6 2007, legislation, market mechanism, markets, percent, public equity, rational markets, repeal, research, risk aversion, S&P 500, SEC, SEC Chairman Christopher Cox, study, swings, technical analysis, trader, trading, trading analysis, trading days, trading study, U.S. equities, uptick rule, VIX, volatility
December 10, 2008 at 2:22 am |
[...] Correlation is not Causation, However the Uptick Rule Must Be Reconsidered By greenewable I know I’ve been going on about this now for over a week. I am publishing revised studies that I put out last week below mainly because a couple of headlines today spurred more debate over whether or not the uptick rule needs to be reinstated. Please see my prior posts: The Uptick Rule Needs To Be Seriously Reconsidered and Follow Up To Previous Post on Reconsidering the Uptick Rule [...]