Witching days and abnormal profits in the us stock market

Figures & data

Table 1. Descriptive statistics for the analyzed data

Parameter	Dow Jones Index		SP500			Nasdaq
	Daily	Weekly	Daily		Weekly	Daily		Weekly
Mean	0.02%	0.13%	0.02%		0.14%	0.01%		0.17%
Standard Error	0.01%	0.07%	0.01%		0.07%	0.02%		0.10%
Mode	0.00%	0.25%	0.02%		0.21%	0.06%		0.29%
Standard Deviation	1.00%	2.35%	1.02%		2.37%	1.51%		3.42%
Sample Variance	0.01%	0.06%	0.01%		0.06%	0.02%		0.12%
Kurtosis	7.80	6.33	8.25		5.77	12.25		5.95
Skewness	−0.10	−0.36	−0.30		−0.30	0.45		−0.18
Range	16.54%	31.71%	16.46%		29.48%	30.48%		46.43%
Minimum	−7.75%	−17.09%	−8.42%		−16.29%	−9.35%		−25.34%
Maximum	8.79%	14.61%	8.04%		13.19%	21.13%		21.09%
Sum	119.39%	142.99%	107.98%		146.75%	28.98%		188.49%
Count	6125	1126	5540		1068	5439		1131

Note: Authors’ calculations.

Table 2. Overall results for witching day price effects: the case of the Dow Jones Index

Case analysed	Students t-test	ANOVA	Mann- Whitney test	Modified CAR	Regression with dummy variables	Trading simulation	Overall
d(0)	+	+	-	+	+	+	5
d(−1)	-	-	-	+	-	-	1
d(+1)	-	-	-	+	-	-	1
w(0)	-	-	-	+	-	-	1
w(−1)	-	-	-	+	+	-	2
w(+1)	-	-	+	+	-	-	2

Note: This table presents the overall results for the Dow Jones Index. + (-) indicates that an anomaly is (not) detected. For the statistical tests (both parametric and non-parametric) the null hypothesis is that data for the witching related days and for normal ones belong to the same population; a rejection of the null implies the presence of a statistically significant anomaly. The regression analysis with dummy variables provides evidence of an anomaly if a1 (the dummy coefficient) is statistically significant (p < 0.05). The MCAR approach implies the existence of an anomaly if the trend model based on cumulative abnormal returns data has a high multiple R-squared, passes the F test, and the regression coefficients are statistically significant (p-value < 0.05). Authors’ calculations.

Table 3. Overall results for witching day price effects: the case of the S&P500 Index

Case analysed	Students t-test	ANOVA	Mann- Whitney test	Modified CAR	Regression with dummy variables	Trading simulation	Overall
d(0)	+	+	+	+	+	+	6
d(−1)	-	-	-	+	-	-	1
d(+1)	-	-	-	+	-	-	1
w(0)	-	-	-	+	-	-	1
w(−1)	-	-	-	-	-	-	0
w(+1)	-	-	+	+	-	-	2

Note: This table presents the overall results for the S&P500 Index. + (-) indicates that an anomaly is (not) detected. For the statistical tests (both parametric and non-parametric) the null hypothesis is that data for the witching related day and for normal ones belong to the same population; a rejection of the null implies the presence of a statistically significant anomaly. The regression analysis with dummy variables provides evidence of an anomaly if a1 (the dummy coefficient) is statistically significant (p < 0.05). The MCAR approach implies the existence of an anomaly if the trend model based on cumulative abnormal returns data has a high multiple R-squared, passes the F test, and the regression coefficients are statistically significant (p-value < 0.05). Authors calculations.

Table 4. Overall results for witching day price effects: the case of the Nasdaq Index

Case analysed	Students t-test	ANOVA	Mann- Whitney test	Modified CAR	Regression with dummy variables	Trading simulation	Overall
d(0)	+	+	+	+	+	+	6
d(−1)	-	-	-	-	-	-	0
d(+1)	-	-	-	+	-	-	1
w(0)	-	-	-	+	-	-	1
w(−1)	-	-	-	+	-	-	1
w(+1)	-	-	-	+	-	-	1

Note: This table presents the overall results for the Nasdaq Index. + (-) indicates that an anomaly is (not) detected. For the statistical tests (both parametric and non-parametric) the null hypothesis is that data for the witching related day and for normal ones belong to the same population; a rejection of the null implies the presence of a statistically significant anomaly. The regression analysis with dummy variables provides evidence of an anomaly if a1 (the dummy coefficient) is statistically significant (p < 0.05). The MCAR approach implies the existence of an anomaly if the trend model based on cumulative abnormal returns data has a high multiple R-squared, passes the F test, and the regression coefficients are statistically significant (p-value < 0.05). Authors’ calculations.