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World Stock Markets From My Eyes

By Aditya Gupta

Greetings !!

Hope everybody is fine, and enjoying life at its fullest. As, I am still searching a good job, last week I had full time to spend in analyzing World Stock Markets and their performance over last 10 years. It's an ongoing process but I would like to share some of the findings till now, one can consider it as a detailed excerpt.

Data used : From Jan 01, 2001 to Dec 31, 2011
*For S&P Global 100 and S&P Global 1200, only last 5 years data was available.

Market Indices taken in consider : S&P 500, NASDAQ, DOW JONES, NIKKEI 225, IBOVESPA, RTSI, NIFTY, BSE SENSEX, SHANGHAI, HANG SENG, KOSPI, STRAIT TIMES, DAX, FTSE 100, CAC 40, S&P GLOBAL 100, S&P GLOBAL 1200

Economic Factors considered : GDP Growth Rate, Investment(as %GDP), Gross National Savings (as %GDP), Average Inflation(CPI YOY Basis), Change in Import volume of goods and services, Change in Export volume of goods and services, Unemployment rate, General Government Expenditure(as %GDP), General Government Revenue(as %GDP), General Government Net Lending/Borrowing(as %GDP), Current account balance(as %GDP), Real Interest Rate

Tools Used : Microsoft Excel 2003, SPSS Statistics 17.0

This excerpt be will limited to below attached 10 images/figures.

Figure 1

It depicts absolute 10 year return of Major Stock Markets in the world. Russian RTSI has clearly outperformed other indices while Indian, Brazil & South Korean Indices have managed to give decent return as compared to others over last 10 years. It is interesting to know that US & European Markets have failed to give any significant return during the same period. Clearly Emerging Markets have outperformed others in terms of 10 year return.

Figure 2

It depicts yearly return at a point of time. Russian RTSI, China SHANGHAI, Brazil IBOVESPA & Indian BSE Sensex have been most active indices, both on upside and downside of the return scale. Russian RTSI seen to be most volatile index among all.

Figure 3

This is simple and quite interesting depiction of Return against its Variability/Volatility of major stock indices. SHANGHAI has large difference between its mean & median return over last 10 years while US & European Markets have comparatively less standard deviation(i.e they are comparatively more stable) but they failed to give any significant magnitude of return to investors.

KOSPI, BSE Sensex, Nifty 50, IBOVESPA & RTSI have clearly emerged out as favorite as their mean & median return are almost similar and not very far from the standard deviation line with comparatively decent returns.

Here nature and behavior of S&P Global 100 & S&P Global 1200 indices are not so Global. They still resembles majorly developed markets only, emerging markets seems to have very little space in their global indices composition. That's why I choose not to analysis these so called Global Indices further.

Figure 4

It shows correlation among World Stock Markets. It can easily be seen that all these indices' return are highly & positively correlated with each other. HANGSENG & Strait Times are two mostly correlated indices with rest of the world indices(specially SHANGHAI).

Figure 5a & 5b

These 2D figures shows behavior of US Market Indices and various economic factors/variables over last 10 years. Among all, Unemployment Rate and Government Revenue seems to be two most correlated economic factors with US Market Indices' return.

Figure 6a & 6b

These 2D figures shows behavior of Indian Market Indices and various economic factors/variables over last 10 years. These factors individually are not highly correlated with the Indian Market Indices' return. GDP Growth Rate is most positively correlated factor among all.

Figure 7

It shows the regression equation of US S&P Index Return with respect to various economic factors affecting it. It is interesting to note that out of considered economic factors, Index return is increasing with increase in Unemployment Rate and Average Inflation(CPI). This needs further research.

Figure 8

It shows the regression equation of Indian Nifty 50 Index Return with respect to various economic factors affecting it. It is interesting to note that constant value is negative and Index return decreases with increase in exports. This needs further research.

Not sure, how accurately & rationally I made my effort, but it surely gives a brief insight about World Stock Indices and their respective behavior over last 10 years.

Hoping it was worth to read... Always Love to have comments/corrections/opinions... Have A Great Day... Cheers !!

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I like the way you organized this Intel. If pictures are worth a thousand words you have just given us a 10,000 word plus Intel. Thanks for the information.

Thanks a lot.. for such nice words..

I appreciate the considerable time and effort that went into preparing these charts. However, I thnk it is dangerous to make assumptions about or attempt to derive meaningful patterns in the stock markets, even for someone as exceptionally intelligent as yourself, as in the end it is not hugely different from gambling.

By the way, good luck with the job hunt - I hope you find a position commensurate to your capabilities.

Thanks Nick, ya it's true... that stock markets are more like gambling... but my effort is to understand the system... what's going on/how markets behave with respect to economic factors... etc.

Always love to have your comments. Good Day !!

You must have put in a lot of effort on this research. Wish you good luck in your job search

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