S&P Stock Market Data

Daily percentage returns for the S&P 500 stock index between 2001 and 2005.

Smarket

Format

A data frame with 1250 observations on the following 9 variables.

Year

The year that the observation was recorded

Lag1

Percentage return for previous day

Lag2

Percentage return for 2 days previous

Lag3

Percentage return for 3 days previous

Lag4

Percentage return for 4 days previous

Lag5

Percentage return for 5 days previous

Volume

Volume of shares traded (number of daily shares traded in billions)

Today

Percentage return for today

Direction

A factor with levels Down and Up indicating whether the market had a positive or negative return on a given day

Source

Raw values of the S&P 500 were obtained from Yahoo Finance and then converted to percentages and lagged.

References

James, G., Witten, D., Hastie, T., and Tibshirani, R. (2013) An Introduction to Statistical Learning with applications in R, www.StatLearning.com, Springer-Verlag, New York

Examples

summary(Smarket)
#>       Year           Lag1                Lag2                Lag3          
#>  Min.   :2001   Min.   :-4.922000   Min.   :-4.922000   Min.   :-4.922000  
#>  1st Qu.:2002   1st Qu.:-0.639500   1st Qu.:-0.639500   1st Qu.:-0.640000  
#>  Median :2003   Median : 0.039000   Median : 0.039000   Median : 0.038500  
#>  Mean   :2003   Mean   : 0.003834   Mean   : 0.003919   Mean   : 0.001716  
#>  3rd Qu.:2004   3rd Qu.: 0.596750   3rd Qu.: 0.596750   3rd Qu.: 0.596750  
#>  Max.   :2005   Max.   : 5.733000   Max.   : 5.733000   Max.   : 5.733000  
#>       Lag4                Lag5              Volume           Today          
#>  Min.   :-4.922000   Min.   :-4.92200   Min.   :0.3561   Min.   :-4.922000  
#>  1st Qu.:-0.640000   1st Qu.:-0.64000   1st Qu.:1.2574   1st Qu.:-0.639500  
#>  Median : 0.038500   Median : 0.03850   Median :1.4229   Median : 0.038500  
#>  Mean   : 0.001636   Mean   : 0.00561   Mean   :1.4783   Mean   : 0.003138  
#>  3rd Qu.: 0.596750   3rd Qu.: 0.59700   3rd Qu.:1.6417   3rd Qu.: 0.596750  
#>  Max.   : 5.733000   Max.   : 5.73300   Max.   :3.1525   Max.   : 5.733000  
#>  Direction 
#>  Down:602  
#>  Up  :648  
#>            
#>            
#>            
#>            
lm(Today~Lag1+Lag2,data=Smarket)
#> 
#> Call:
#> lm(formula = Today ~ Lag1 + Lag2, data = Smarket)
#> 
#> Coefficients:
#> (Intercept)         Lag1         Lag2  
#>    0.003283    -0.026444    -0.010946  
#>