The statistics for the broad market indices (daily data) have become stationary for the past year. The plot of SPY above shows the stationarity for a rolling one year, two year, and three year period. When the colored lines are below the critical value (horizontal gray line), the statistics for the corresponding period are stationary. The statistics for the past two years and three years are not stationary. The past year has become the new normal. Will the coming year exhibit the same tendency for monster moves as the last year?
The more volatile emerging markets (EEM) also have stationary statistics for the past year. The statistics for the last two years and three years are not stationary, but are closer to the threshold than SPY. Will emerging markets continue to lead the way?
The long term treasury bonds (TLT) statistics are not stationary for the past one, two, or three year periods. TLT was even more destabilized by the October 2008 market crash than the stock indices. Can there be an economic recovery with instability in the bond markets?
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