FINDING THE IDENTICAL TWIN

Authors

  • Dr. Jay Desai Shri Chimanbhai Patel Institute of Management & Research
  • Nisarg Joshi Shri Chimanbhai Patel Institute of Management & Research

Keywords:

Mean Reversion, Correlation, Pairs Trading, Stock Market, World Market, Portfolio Management, Stock Investing, ADF Test, Augmented Dickey Fuller Test, Time Series

Abstract

In this paper we examine correlation and mean reverting behavior of Dow Jones Industrial Average, with ten stock markets from Asia, Europe and America. Along with correlation test, Augmented Dickey Fuller Test is conducted to test the mean reverting behavior of time series. We found that all the markets are positively correlated with DJIA. We also confirm that high degree of correlation does not result in mean reversion between two time series.

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Additional Files

Published

15-12-2015

How to Cite

Dr. Jay Desai, & Nisarg Joshi. (2015). FINDING THE IDENTICAL TWIN. International Education and Research Journal (IERJ), 1(5). Retrieved from http://ierj.in/journal/index.php/ierj/article/view/49

Issue

Vol. 1 No. 5 (2015): DECEMBER ISSUE, INTERNATIONAL EDUCATION AND RESEARCH JOURNAL

Section

Articles

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