Abstract

http://ssrn.com/abstract=1977697
 
 

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Finding the Identical Twin


Dr. Ashwin G. Modi Sr.


Hemchandracharya North Gujarat University

Jay Desai


Shri Chimanbhai Patel Institute of Management & Research

Dr. Ashvin Ramchandra Dave


Pandit Deendayal Petroleum University

Kinjal Jay Desai


Corporate Solutions Group, SBI Life Insurance Co. Ltd.

December 30, 2011

Econometrics: Multiple Equation Models eJournal, Vol 5, No. 1, January 09, 2012

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.

Number of Pages in PDF File: 10

Keywords: Dow Jones, Augmented Dickey Fuller Test, Correlation, Pairs Trading, World Markets, Time Series, Portfolio Management, Hedging, Portfolio Balancing, Risk Management

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Date posted: December 31, 2011 ; Last revised: January 11, 2012

Suggested Citation

Modi, Dr. Ashwin G. and Desai, Jay and Dave, Dr. Ashvin Ramchandra and Desai, Kinjal Jay, Finding the Identical Twin (December 30, 2011). Econometrics: Multiple Equation Models eJournal, Vol 5, No. 1, January 09, 2012 . Available at SSRN: http://ssrn.com/abstract=1977697 or http://dx.doi.org/10.2139/ssrn.1977697

Contact Information

Ashwin Govindbhai Modi Sr.
Hemchandracharya North Gujarat University ( email )
Patan 384265
India
HOME PAGE: http://www.ngu.ac.in
Jay Desai (Contact Author)
Shri Chimanbhai Patel Institute of Management & Research ( email )
Opp. Karnavati Club
S G Highway
Ahmedabad, 380015
India
Dr. Ashvin Ramchandra Dave
Pandit Deendayal Petroleum University ( email )
Raisan
Gandhinagar
Gandhinagar, 380015
India
+91-79-23275237 (Phone)
Kinjal Jay Desai
Corporate Solutions Group, SBI Life Insurance Co. Ltd. ( email )
401, Rain Drops Building
Opp.Cargo Motors, C.G.RO
Ahmedabad, Gujarat 380015
India
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