Home  Journals  Finance and Credit  37(613) - 2014 October

The efficiency of applying MICEX and RTS indices in the correlation analysis with foreign indices under the Pearson method

Available online: 9 October 2014

Subject Heading: Stock market

JEL Classification: 

Pages: 60-65

Importance Both the beginners and experienced investors operating in the stock market apply correlation analysis to compare the dynamics of various stocks and indices. Considering the correlation analysis of indices, investors use the following combinations: MICEX and RTS indices versus sectoral indices; MICEX and RTS indices versus foreign stock market indices. The purpose of the article is to answer the question: what Russian stock index is better to use in comparison with foreign indices?
     Objectives I need to solve the following problems: а) to calculate the correlation coefficient between the RTS or MICEX indices and foreign indices; b) to make an expert analysis of the correlation coefficients.
     Methods In the study I used the linear correlation coefficient formula to calculate the coefficients between the MICEX index and the stock market indices of Argentina (MerVal), Brazil (Bovespa), Mexico (IPC), USA (S&P500), USA (NASDAQ Composite), the UK (FTSE 100), Germany (DAX), France (CAC 40), China (Shanghai Composite), Japan (Nikkei 225), as well as between the RTS index and the stock market indices of the mentioned countries. On the basis of the obtained data I have made an expert analysis by sorting out the greatest values.
     Results Having calculated the correlation coefficients for MICEX and RTS indices from 2011 to 2014, I make a conclusion that the stock indices have asynchronous movements with respect to their foreign analogues. The comparison showed that the MICEX index has higher correlation coefficients than the RTS index with respect to foreign stock market indices.
     Conclusions and Relevance The MICEX index is the most preferable in comparison with foreign stock market indices, because it shows the highest correlation coefficient than the RTS index.

Keywords: index, MICEX, RTS, correlation analysis, exchange, issuer, cost

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