In this paper we examine the interaction of stock markets of different countries by constructing networks that connect 32 selected stock market indices from different countries. In the network being constructed, the nodes are the stock market indices and the edges are connections between the indices. Each edge has an edge weight equal to the cross-correlation between the pair of connecting indi...

We develop networks of international stock market indices using information and correlation based measures. We use 83 stock market indices of a diversity of countries, as well as their single day lagged values, to probe the correlation and the flow of information from one stock index to another taking into account different operating hours. Additionally, we apply the formalism of partial correl...

This paper uses an empirical connection between real stock market indices of Germany and the USA for forecasting corresponding returns. We are starting from the random walk as the traditional forecasting model in stock market applications, extending it by co-integration. Since the cointegrating relation considers information about a systematic link between the stock market indices, containing a...

China’s stock market has experienced a big bull market in 2007 and a bear market in 2008. Since then, with the influence of the global economy, China's stock market exhibits ups and downs as usual. We examine the relationship between the stock market sector indices from the meso level, and divide the periods into two stages. One stage represents the drastic shock periods in 2007 and 2008, and t...

The study investigates the effect of macroeconomic determinants on the performance of the Indian Stock Market using monthly data over the period January 1991 to December 2011 for eight macroeconomic variables, namely, Interest Rate, Inflation, Exchange Rate, Index of Industrial Production, Money Supply, Gold Price, Silver Price & Oil Price, and two stock market indices namely Sensex and S&P CNX...

The present study is being contemplated with the objective of studying the degree of stock market integration. In this study, month-wise average prices of BSE-Sensex, NYSE, NASDAQ, S&P500, HangSeng, Nikkei225, SSE Composite index and FTSE100 have been selected. Multiple Correlations has been computed for the select stock market indices. Statistical Significance of the correlation has been teste...