Intermarket technical research of the U.S. Capital markets and the Czech stock market performance

Abstract

Globalization of the capital markets increasingly leads the investors to understand the fundamentals and technicals of asset cross-correlations and the global asset allocation seems to be an important task. The paper measures product momentum correlations between the four leading global benchmarks Standard & Poor's stock index, Thomson Reuters/Jeff eries CRB index, 30-Year U.S. Treasury Bond Price index and Dollar Index and between these indices and the Czech stock PX index. Empirical results illustrate that statistically significant correlations between U.S. indices existed over some past period at the 95.0% confidence level. In addition, the significant relation between indices Standard & Poor's stock index, Thomson Reuters/Jeff eries CRB index and the Czech stock market PX during the past fieen years has been detected. These conclusions were reached from an analysis of monthly data in the United States and the Czech Republic, from January 1999 to April 2014. The empirical results off er beneficial applications not only for investors to diversify their risk but also for policymakers to allocate resources more efficiently.