2020 Stock Market Crash
Summary
Between the 19th of February, 2020, and the 23rd of March, 2020, the S&P500 (^GSPC) fell from 3,386.15 to 2,237.40, using adjusted closing prices. It subsequently climbed back to 3,276.02 on the 22nd of July, 2020. Some people seem to think it will keep going. I expect a massive crash.
To predict the upcoming (?) 2020 stock market crash, I propose examining the market using three techniques:
- Historical crash analysis
- Price-to-earnings (or revenue, etc.) analysis that attempts to factor defaults
- Extrapolating based on the market-to-economy relationship
I could also employ a pure chartist approach, perhaps to give the counterfactual.
S&P 500 data
As much as I love the Dow, it accounts for about 25% of the economy, whereas the S&P500 accounts for around 80%. So I'll likely use the S&P500. I'll download both from Yahoo:
- https://finance.yahoo.com/quote/%5EGSPC/history?period1=157766400&period2=1595548800&interval=1d&filter=history&frequency=1d
- https://finance.yahoo.com/quote/%5EDJI/history?period1=157766400&period2=1595548800&interval=1d&filter=history&frequency=1d
COMPUSTAT data
COMPUSTAT updates its fundamentals quarterly and monthly security files daily. I did a pull of the entire fundamentals quarterly database from 2015-01 to 2020-07. It has close prices, as well as highs and lows. I pulled close, as averaging highs and lows seems like it might be skewed given the context (especially over short time periods).
