Intraday Equity Moves Similar To GFC
Intraday equity moves over the past several months are comparable to those that occurred in the first few months of the COVID-19 pandemic in 2020 and the Global Financial Crisis (GFC) in 2008 and 2009, says an analyst at AGF Investments. A factor analysis by Abhishek Ashok shows since the start of March, more than 70 per cent of trading days have had a daily return spread between high and low beta stocks that is higher than one standard deviation (plus or minus). Furthermore, based on this volatility index, the months of March 2022 and May 2022 rank among the 10 most unstable months since the year 2000, with 78 per cent and 77 per cent of trading days respectively. This amount of factor volatility is unusual because past occurrences of this size have often corresponded with significant market collapses that have been accompanied by deep recessions. However, that’s not the situation now because economic growth is still positive to date and purchasing manager indexes (PMIs) around the world continue to indicate a slowdown in the business cycle, not a full-scale contraction, even though most major indexes have declined significantly due to recession fears. Interestingly, he says a more severe economic slowdown than what is currently occurring is being priced in by markets.