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FINDING THE IDENTICAL TWIN |
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by International Education and Research Journal |
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In this paper we examine correlation and mean reverting |
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behavior of Dow Jones Industrial Average, with ten stock |
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markets from Asia, |
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Europe and America. Along with correlation test, |
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Augmented Dickey Fuller Test is conducted to test the |
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mean reverting behavior of time |
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series. We found that all the markets are positively |
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correlated with DJIA. We also confirm that high degree of |
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correlation does not result |
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in mean reversion between two time series. |
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Date Published: 2015-12-26 14:12:13 |
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Identifier: editor_ierj_05 |
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Item Size: 2184288 |
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Language: eng |
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Media Type: texts |
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# Topics |
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IERJ |
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Mean Reversion |
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Correlation |
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Pairs Trading |
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Stock Market |
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World Market |
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Portfolio Management |
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Stock Investing |
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ADF Test |
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Augmented Dickey Fuller Test |
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Time Series |
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International Education and Research ... |
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