The Correlation Between Different Country Stock Market Indices

Authors

  • Tianyang Wang
  • Guangyi Xu

DOI:

https://doi.org/10.54097/n1hfy470

Keywords:

cointegration, correlation, stock market index.

Abstract

The main purpose of this project is to explore the correlation between different stock market indices. Using cointegration test to measure the correlation between different countries’ stock market indices to get the results illustrate the strength of the relationship between different countries, thereby helping investors make correct decisions in real investments.

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References

[1] Cointegration of international stock market indices. (1994, August 1). IMF eLibrary. https://www.elibrary.imf.org/ view/journals/001/1994/094/article-A001-en.xml

[2] Johansen, S. (1988, September). Statistical analysis of cointegration vectors. Just a moment... https://www.sciencedirect.com/science/article/pii/0165188988900413

[3] Phillips, P. C., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75 (2), 335. https://doi.org/10.2307/2336182

[4] Yunus, N. (2013, October). Contagion in international financial markets: A recursive cointegration approach. https://www.sciencedirect.com/science/article/abs/pii/S1042444X13000327

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Published

28-12-2024

Issue

Vol. 46 (2024): 5th International Conference on World Economy and Project Management (WEPM 2024)

Section

Articles

License

Copyright (c) 2025 Highlights in Business, Economics and Management

Creative Commons License

This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.