Quantification of intermarket influence on the Australian All Ordinary Index based on optimization techniques

Authors

  • Chandima Dilrukshi Tilakaratne
  • Sidney Morris
  • Musa Mammadov
  • Cameron Hurst

DOI:

https://doi.org/10.21914/anziamj.v48i0.54

Abstract

We quantify the influence from the US S&P 500 Index, along with those from major European and Asian stock market indices, on the Australian All Ordinary Index (AORD). Weights were derived to optimise the average rank correlation between the current day's relative return of the AORD and the weighted sum of the lagged relative returns of the potential influential markets. During the study period, the previous day's Close prices of the considered influential markets had the highest combined influence on the current day's Close price of the AORD. The US S&P 500 Index contributed most to this combined influence followed by the UK FTSE 100 Index. This study suggests that the use of these two key indices helps predict the current day Close price of the AORD.

Published

2007-05-06

Issue

Section

Proceedings Computational Techniques and Applications Conference