Weekly S&P Stock Market Data#

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

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.

from ISLP import load_data
Weekly = load_data('Weekly')
Weekly.columns

Index(['Year', 'Lag1', 'Lag2', 'Lag3', 'Lag4', 'Lag5', 'Volume', 'Today',
       'Direction'],
      dtype='object')

Weekly.shape

(1089, 9)

Weekly.columns

Index(['Year', 'Lag1', 'Lag2', 'Lag3', 'Lag4', 'Lag5', 'Volume', 'Today',
       'Direction'],
      dtype='object')

Weekly.describe().iloc[:,:4]