S2Ep116 | The Auction Gave It All Back | 69 of the 70 Stocks It Marked Up on Monday Fell on Tuesday | Correlation Minus 0.712 Inside the Auction, Zero Outside It | ITC Printed 255.50, Closed 266.60 |
The Tanmay Edge | India's pre-market edge, every trading day... di Tanmay Kurtkoti
Note sull'episodio
On Monday the closing auction printed ITC at 255.50. The market had spent six hours trading it at an average of 262.30. On Tuesday, with continuous trading back, ITC closed at 266.60. One stock is an anecdote, so we tested the whole list.
THE STUDY. Universe: the 210 futures and options stocks, which is the auction list. Control: the other 1,975 traded stocks, which are not in it. For Monday, each auction print measured against that stock's own average price for the day. For Tuesday, the plain return. Then correlate. Inside the auction: MINUS 0.712. Outside it: PLUS 0.018, which is zero. The regression slope inside the auction is minus 1.037, so on average the entire Monday dislocation was given back one for one the next day.
THE BUCKETS. Of the 70 stocks the auction marked UP by more than 1 percent, 69 fell on Tuesday, average minus ...