Correlation Co-efficient foe Equity Indicies

[CFD11]

I would be grateful if anyone could direct me to a site where I can obtain the correlation and cross correlation co-efficient between different equity indices such as Dow vs FTSE VS OMX vs CAC .

Thanks.

 

[rog1111]

Hmm, I'm not sure if there is such a site, but it should be quite an easy exercise using historical closing prices from Yahoo finance (not the best source I know !) and Excel. Calculate the daily % changes for each, and make sure that the sample sizes are the same in Excel. I also think that you need to give the trading times for each index some thought.

rog1111

I would be grateful if anyone could direct me to a site where I can obtain the correlation and cross correlation co-efficient between different equity indices such as Dow vs FTSE VS OMX vs CAC .

Thanks.

 

[KIMMRUNNER]

cross correlation timing

Hmm, I'm not sure if there is such a site, but it should be quite an easy exercise using historical closing prices from Yahoo finance (not the best source I know !) and Excel. Calculate the daily % changes for each, and make sure that the sample sizes are the same in Excel. I also think that you need to give the trading times for each index some thought.

rog1111

Be really careful with cross correlations: rog111 is right. The timing differences make interpretation of such figures essentially meaningless.

Even the european indices are a problem - for example the late close of the DAX means that the closing of the DAX is influenced by stateside movements after the close of the FTSE - so FTSE/DAX correlations are not helpful.

The best pairing to look at on the basis of closing time cross correlation is FTSE/CAC

But If you really want to follow this, get an intraday feed and sample at the same times:
I used the combination of SIERRACHART and MYTRACK for this purpose some time ago, but there are also cheap intraday samplers that you can buy.

It takes a long time to build up a decent history database, & I never did manage to find a long term intraday index history database.