Melbourne Cup provides a Bullish Setup for Australian Equities. In Australia the press dub the Melbourne Cup as the race that stops a nation. It is truly one of the social events of the year & the mood of the nation tends to be exceedingly upbeat. It is also a very positive period for Australian stocks. Recording all 5-day returns up to & including the 1st Tuesday of November (Melbourne Cup Day) from 1992 to 2012 (XJO starting date May 1992), we found that the S&P ASX 200 (XJO) had a tendency to produce inordinate gains with an average move of 1.96% & winning form of 17 from 21 (max 11.08%, min -4.67%). Melbourne Cup Day returns are also reasonably positive delivering an average 1-day increase of 27 basis points with a 15 from 21 win rate.


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Probability Trader

We posit that mood is the major influence on these returns, not unlike the better than average returns that accompany stocks at Christmas & New Year. Other influences on these returns could be perceived investor relief that October is over, 1st week of the month positive bias, November through to the end of April marking the beginning of an historically positive period & thin markets around Melbourne Cup Day. Perhaps the Melbourne Cup also has a tendency to increase international investor focus on Australia.

Andrew McCauley

After taking out the 2 maximum gains (1997 gain 10.59%, 2008 gain 11.08%) the data still passes muster producing an average 5-day return of 1.03% with statistical significance at north of the 1 in 10 level.

James Marlay

I've been hanging out for this one

James Marlay

Could the timing of big four bank reporting have an influence over movements in XJO for this period?