Weekly S&P Stock Market Data

Weekly percentage returns for the S&P 500 stock index between 1990 and 2010.

Weekly

Format

A data frame with 1089 observations on the following 9 variables.

Year

The year that the observation was recorded

Lag1

Percentage return for previous week

Lag2

Percentage return for 2 weeks previous

Lag3

Percentage return for 3 weeks previous

Lag4

Percentage return for 4 weeks previous

Lag5

Percentage return for 5 weeks previous

Volume

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

Today

Percentage return for this week

Direction

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

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(Weekly)
#>       Year           Lag1               Lag2               Lag3         
#>  Min.   :1990   Min.   :-18.1950   Min.   :-18.1950   Min.   :-18.1950  
#>  1st Qu.:1995   1st Qu.: -1.1540   1st Qu.: -1.1540   1st Qu.: -1.1580  
#>  Median :2000   Median :  0.2410   Median :  0.2410   Median :  0.2410  
#>  Mean   :2000   Mean   :  0.1506   Mean   :  0.1511   Mean   :  0.1472  
#>  3rd Qu.:2005   3rd Qu.:  1.4050   3rd Qu.:  1.4090   3rd Qu.:  1.4090  
#>  Max.   :2010   Max.   : 12.0260   Max.   : 12.0260   Max.   : 12.0260  
#>       Lag4               Lag5              Volume            Today         
#>  Min.   :-18.1950   Min.   :-18.1950   Min.   :0.08747   Min.   :-18.1950  
#>  1st Qu.: -1.1580   1st Qu.: -1.1660   1st Qu.:0.33202   1st Qu.: -1.1540  
#>  Median :  0.2380   Median :  0.2340   Median :1.00268   Median :  0.2410  
#>  Mean   :  0.1458   Mean   :  0.1399   Mean   :1.57462   Mean   :  0.1499  
#>  3rd Qu.:  1.4090   3rd Qu.:  1.4050   3rd Qu.:2.05373   3rd Qu.:  1.4050  
#>  Max.   : 12.0260   Max.   : 12.0260   Max.   :9.32821   Max.   : 12.0260  
#>  Direction 
#>  Down:484  
#>  Up  :605  
#>            
#>            
#>            
#>            
lm(Today~Lag1+Lag2,data=Weekly)
#> 
#> Call:
#> lm(formula = Today ~ Lag1 + Lag2, data = Weekly)
#> 
#> Coefficients:
#> (Intercept)         Lag1         Lag2  
#>     0.15246     -0.07100      0.05384  
#>